I'm having problems with McAfee Firewall too, so I understand your frustration. I think the problem has to do with the firewalls and not Windows XP though.
I'm using Windows XP Home Edition and running Norton Internet Security 2004. Normally there's not a problem, but do have a couple of bugs that I'm hoping someone can help me work out.
The first has to deal with the Windows Update page. When I manually go to the site it starts to load, but hangs on "Checking for the latest version of Windows Update software..." It freezes on this frame and will not move unless I disable the firewall. I don't like doing this and wondered if there was a setting or something either in IE or Norton Internet Security that I'm missing.
I have similar issues with logging into my web based Hotmail account saying that I'm not using a compatibily browser such as IE. However, I am using the most updated version of IE. Again, disabling the firewall works.
Any help and/or ideas on how I can keep the firewall up and running without having these problems?
Thanks in advance.

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic