Well the MS Firewall is included in MS Windows XP, it just isn't turned on by default. With SP2 after you reboot, it forces you to make a decision as to if you want it to turn on or not...It recognized NIS 2004, and said it doesn't need to turn on...
To verify you have it right-click on mycomputer -> manage -> expand services and applications(if not already) -> click on Services -> and scroll all the way to the bottom to find "Windows Firewall/Internet Connection Sharing(ICS)." For more information on enabling this feature prior to SP2 go to: http://www.microsoft.com/windowsxp/using/networking/learnmore/icf.mspx
As for finding my history etc...I'm not so sure, I've got my system rather locked down...though it doesn't really need to be...I don't have anything to hide...