Nope. Since you will almost surely will allow internet access to Internet Explorer through the firewall, then you can still be vulnerable. The vulnerability lies within IE and allowing it through the firewall creates the problem.
Installing the updates from Microsoft and disabling the ActiveX and Scripting options in the "Internet" zone should stop the most recent vulerabilities. You might also consider using a different browser for doing random internet surfing and only using Internet Explorer when visiting a few trusted sites such as Windows Update, etc.
Hope this helps.
I have enabled the built in Firewall for Windows XP Home. Will this be enough to protect my computer until Microsoft puts out a patch?