If you choose to save be sure you remember where you save to, the desktop is a good place to save to then you have to open the folder and find the install.exe file to start the installation. It my be better to just choose run then it installs right then in most cases.
Its more important to have antivirus and also malware scanners then worrying about a firewall, just make sure windows firewall is ON in the control panel.
You may want to find windows help and support with the Start Programs button the same as you would open any program and study it for more clues on how to use windows and the options it has.
Help has a handy search box to find issues related to what may be on your mind.
You may also want to go to Amazon.com and search for Windows XP for Dummies book and study that until things start to make more sense.