Network, firewall and XP

I just discovered that I don't have the XP firewall
funcioning on my PC. When I go to Network Connections I
only see Internet Gateway, Network Bridge, and Wizard. I
am able to access the Internet through my NIC card which
is connected to my router which connects to my cable
modem. My other PC is able to connect via our Broadband
wireless connection and has its firewall in effect via
XP . But can't figure how to get my firewall active. I
must have set this up wrong but now don't know how to
correct it. Help!