From the WinXP Pro ICF help:
Internet Connection Firewall Considerations
ICF and Home or Small Office communications
You should not enable Internet Connection Firewall (ICF) on any connection that does not directly connect to the Internet.
If the firewall is enabled on the network adapter of an ICS client computer, it will interfere with some communications between that computer and all other computers on the network. For a similar reason, the Network Setup Wizard does not allow ICF to be enabled on the ICS host private connection, the connection that connects the ICS host computer with the ICS client computers, because enabling a firewall in this location would completely prohibit network communications.
Internet Connection Firewall is not needed if your network already has a firewall or proxy server.