In XP start>control panel>security center>firewall --- this will show the firewalls that are currently enabled/on

Also in XP start>control panel>windows firewall --- this will show if windows firewall is enabled or disabled.

Those boxes with all the pretty flashing lights. Those are probably your modem and router. They probably have a name=type writtem on them. If you gently turn them over and look on the bottom, you will see a model no.

Many modems and routers have what is called a NAT firewall built into them.

Hope this helps explain things a little better.