Think of Security Center as a helpful reminder for one to use an active firewall and anti-virus protection - it does NOT provide these tools for you.
However, WindowsXP does indeed include a firewall, and if you're using Service Pack 2 - it should be turned on by default. If it is not, Security Center will throw a fit, reminding you ever half hour that you should have a firewall turned on.
Same thing for the Anti-Virus protection. I would recommend AVG Free, because it's free and hasn't let me down, and is not a memory hog like Norton or some other AV's, something I find very important.
The Windows Firewall is probably good enough, but if you're on broadband (DSL or Cable internet access, or a college dorm room), I'd suggest a hardware router.