I just stepped out to Building 40 to grab some lunch, (it's better than the cafeteria in Building 26, and they do better coffee too) and I bumped into Dennis Morgan, he was the lead guy on the firewall in XPSP2. I asked him what the perf impact was on startup with the firewall enabled. His reply had me grabbing my gut with laughter.
"About 5 msec."
This is a classic example of an article making a claim about performace with few, if any, facts to back up the claim.