hi bellybutton,
the Windows XP firewall blocks direct attacks comming in from the internet, but allows any program on board your computer to connect out to the internet . This is fine, if you know all your programs should be allowed to connect out. Like if you have Internet Explorer and an FTP program, for instance, they both should be allowed to connect out and fetch web pages and download stuff. The problem is when you unknowingly got infected with malware, and that malware then trys to contact it's central control server. Then having no outbound firewall control is a problem. Some people think that stopping malware is the job of an antivirus/anti-malware program, and they are ok with the firewall just stopping inbound attacks. But, no antivirus program is perfect, and your chosen antivirus product may not stop THIS particular malware that is infecting you. Then, if your firewall gives you control over which programs are allowed outbound, then you might CONTAIN the damage by the malware. Especially nowadays, when malware steals banking username and passwords and other personal stuff. When your firewall blocks unknown programs ( including the malware ) from connecting out and sending your private passwords back to it's server, you are still protected, in a sense.
Back to your situation. I would try disabling the Windows firewall and re-enabling CA's firewall and see if your problem persists. You already know how to do this, so all it takes is a quick test to see if you have the same problem with the web sites which you know are problematic.