Correct me if I am wrong, isn't a simple firewall that blocks incoming and outgoing connection is basically impenetrable? Because when something tries to connect, then the connection is dropped immediately unless on a certain port. If even the connection attempt were ignored, how would an exploit achieve some form of connection? Unless we are talking about application level firewall or deep packet inspection

What "modern tactics" actually work on XP?

in this example, its like disabling the firewall and plugging directly into the modem with no router. in that case, there's no local network and no router firewall in place. wrt ports needing exploits, that's correct. the thing about that is that there are definitely exploits being used in the wild that we dont know about. Microsoft's May security update fixed 3 critical vulnerabilities that were being actively exploited. sophisticated attackers use exploit chains, where one vulnerability gets a foothold then others are deployed in a way that circumvents most common security measures inside the affected OS to gain admin rights. so in short, the scenario you describe is not as implausible as you think it might be.