Yep, you're confused and getting bad advice from XP
There is no such thing as a secure network. The key is to take enough steps in the right direction to make it "secure enough" so that a potential hacker will look for another target. At the end of the day if there is something in your PC that I want THAT badly I'll just break in and physically grab it.
The befw11s4 is a router and a basic firewall. As a rule I don't trust software firewalls except as a last resort. I choose not to run a software firewall, instead I too use a befw11s4 to secure my network from the Internet.
So you have the Internet traffic coming in through the befw11s4. That's one point of entry to the network and one place where you need to secure it.
Internet -> Cable modem -> befw11s4 -> PCs (wired and wireless).
Ensure that you use a decent password on the router, that remote admin is disabled and that you are running a recent ROM. The latest is 1.50 for the befw11s4 v4. IF you're not v4 I'm not sure what verison to use. You can look that up
The next thing to be concerned about is the wireless. There are three decent ways to secure your wireless LAN.
SSID Broadcast disable.
MAC filtering
WEP
They are all flawed but but pick any 2 (or more) and you're on your on your way to typically adequate protection.
Ike's FAQ will explain what these do in more detail.
Your 2 wired PCs will both just get IP settings from the router. I would personally disable the XP firewall on both of them.
Your 2 PDAs will be wireless clients of the router.
Away you go
Some of the more recent version of windows support Internet Connection Sharing. This is where you would have the cable modem plug into a network card on the XP box. There would be a 2nd network card on the XP box that plugs into a hub (or it could be wireless) and the clients pass Internet traffic through the Win XP box.
Internet -> Cable Modem -> XP Box -> Other PCs.
This is an ok deployment too but you need to harden the XP box to secure it. I would prefer to use a router. Which you have.
Hope that helps. Post any specifics and I'll try to help.