NT 4 comes with built-in support for packet filtering. It is a simple but still usable filtering function that the administrator can configure to just let some IP packets reach the actual applications running on the system.
You find configuration panel for the filtering function on "Control Panel->Network->TCP/IP->Services->Advanced->Security"
Be aware that this simple filtering mechanism is not a substitute for a real firewall since it cannot do advanced stuff like protection against ip-spoofing, etc.