Don't forget to use a firewall

Hi my system is a dual boot system with Microsoft Windows XP and Linux Ubuntu. I connect to internet.
I am using Firestarter firewall in Linux and Outpost firewall in Microsoft Windows XP. While using Linux I see that my firewall is blocking a lot of incoming connection mostly UDP traffic and other unknown traffic.
But in Windows my firewall is not at all blocking any connection. I checked the traffic logs.
The thing is, I came to know the importance of using firewall, because on average your computer is attacked by hundreds of unknown packets per hours when directly connected to the internet.
If all these packets enter your computer then think, your network performance will be reduced and also there is a great risk of data theft, identity theft and IP hijacking is possible.
So be wise and try to use a firewall as I am.