As I said before, Windows XP is blocking every new program I install from accessing the internet until I tell it to "Unblock". However, it's not alerting me to suspicious activity as such. Furthermore, as the article states, it may be possible for a malicious program to de-activate the Windows firewall, thus giving unhindered internet access. So, for these reasons,it appears that a good two-way firewall offers greater security than Windows firewall.

Thanks for providing the link to the article that provided a satisfactory answer to my original question!

Here's a related point. Two-way firewalls like ZoneAlarm don't give a zillion popup alerts like they used to but they still put up a fair number while they are learning your preferences. Now, here's where it gets sticky. I've sat beside people at their own computer when they wanted to download something, open something, or bring up a webpage they shouldn't. Even though ZoneAlarm gave them a warning/alert message the person clicked to proceed in spite of the warning. The result was, of course, their computer was instantly infected or attacked or otherwise compromised. So, the two-way firewall's effectiveness is limited by the person using it and, therefore, it may be argued that two-way firewalls give just as much of a false sense of security as does Windows firewall.