[TECK]

chances that a hacker can delete your files, even unprotected through firewall are extremly slim, especially if you are on dialup.
first he must find the right IP, then he have to scan for a port that is open.
the firewall that is included in XP is made by Tiny Firewall company, wich is known as doing a good job on it's software (better then zonealarm pro, etc). all you have to do is enable it, you dont need to configure any rules or ports (unless you use msn 4.7, i use msn 5 which bypases the UPnP settings).
there are alot of firewalls companies who make tons of money because people are paranoia and SP1 fixes all the security holes that were discussed in newsgroups, as well the 'undiscussed' ones.

i use a hardware firewall because i have a static IP. if i would be on dialup, i would not even bother to think of loading my system with crapy pieces of software that dont work anyway well and all they do is slow down your system, not to talk the internet speed, etc.
if you plan on using a firewall, better spend 200$ and get a piece of hardware that cannot be bypassed because it's blocking all before it goes onto pc. unlike the regular software firewalls, who filter the information inside of your pc.

when you deal with such huge OS (2gig) you better be sure there are bugs on it.
microsoft developed a great money making system:
they sell the software and let the users find the little bugs, after, for free. smart, huh?