SQL Query Syntax

I recently wrote a query similar to this:

Select e.name, e.employee_id, d.department_name
from employees e,departments d
where e.department_id = d.department_id

An associate recommended that I change this query to add the words INNER JOIN like this:

Select e.name, e.employee_id, d.department_name
from employees e inner join departments d
on e.department_id = d.department_id

I was of the understanding that the first query was Microsoft SQL Syntax, and that the second example was ANSI SQL syntax, but that they executed on the server the same way. My associate however thinks that the second example will execute faster.

Would anyone like to confirm this?