Norton (whole lot of it) is useless at detecting trojans, adware, spyware and keyloggers even if you are using 2005 versions. There is a free antivirus called Antivir PE which will detect most of this stuff plus you must run an anti-spyware tool such as SpyBot Search and Destroy (also free). If you only have Norton installed then you should try these free products to see what it has missed. As far as XP security centre goes - most people had no idea windows xp even had a firewall and many have no idea whether or not they have antivirus. It doesn't add any security but it makes people aware that they should have some - is that a good thing?
Most people wouldn't know an egress filter if it bit their bum and have no intention of getting into that area, your brain can only hold so much. Microsoft are trying to make their stuff more secure and are getting there. While they are still plagued with IE problems you can use Mozilla Firefox browser, it is the best browser anyway.