The firewall in XP Home and Pro is exactly the same in both. It's incoming connections only, lacks most of the configuration options you'd get elsewhere, and really the only things it has going for it is that it's already there and free. It can also be useful for blocking things like the Blaster worm if you have to reformat and thus need to download all those patches again on a "virgin" system.
But honestly, on a dialup it doesn't make a huge difference. A firewall would clue you in to spyware on your system, but that's really about all it's going to do. Most people seem to be under the dellusion that it's this magical cure for every Internet related ill that can afflict a computer. All a firewall does really is look at incoming and outgoing packets looking for something suspicious. ZoneAlarm and most of the others are only stateless firewalls, so they can only look at one packet at a time. Outpost at least has the option for stateful inspection, so it can look at packets as they fit into an entire connection. But on a dialup connection, you're just not that attractive of a target for people. You don't have enough bandwidth to make it worthwhile turning your system into a dumpsite for illegal software, movies, music, etc, nor do you have the bandwidth necessary to really make a difference if they zombify your machine for a DDoS attack. Spyware is the major thing you have to worry about.