how to stop connection to a UDP/TCP ports?

how to stop a connection to a specific UDP/TCP port?
If possible, how to do that on windows XP and
on Linux?

Thanks for reply

easiest way is to put in a hardware router between the OS's and the internet. You block the ports in the router.

Putting a router will stop access to your ports on your computer from an external connection (the Internet) but if you want to block certain ports from the local network, there are a couple of options. You could install a firewall on each computer, or do this for XP (don't know about Linux):

Open Network Connections, right-click your Local Area Connection and select Properties. Select the Internet Protocol TCP/IP and click Properties. Click the Advanced button. Select the Options tab. Select TCP/IP Filtering and click Properties. In the window that opens you can then enable / disable access to certain ports.