See if the provided solutions in this articles will help solve the issue:
You cannot turn on or turn off the Windows Firewall setting on a Windows XP Service Pack 2-based computer
would I be wise to use a different firewall?
No problem if you will use a different firewall (if you want 2 way firewall) but if you are fine with how Windows Firewall in XP SP2 works then I think you can try to resolve it first.
You may also try to try the troubleshooting instruction for Windows Firewall mentioned in this article by Microsoft
My PC is 2 yrs old, uses XP Home Edition, Windows firewall, AVG Free edition, and it has been virtually trouble free it's entire life. Recently though, when I boot up, I've been getting a warning that my firewall has been disabled. Usually I can go to the security center and turn it back on. However, this morning it wouldn't let me turn it back on, so I disconnected from the modem, paced around for a while, then plugged it back in, and presto, it works. It hardly seems secure that the firewall that's supposed to be protecting me shuts itself off during the night. Is this a common problem with Microsoft, and would I be wise to use a different firewall? I sort of wish my PC had given me more problems so I would be more adept at repairing it. Thanks for any help you can give.