OK that's why you can't connect. You will need to do some investigation for me & provide me all the specific details of my questions.
1. What type of modem & router & what's the brand & model no. of them?
2. What Operating System (OS) version do you use?
3. Do you have XP with the Security Patch 2 (SP2)?
4. What firewalls do you have? XP? Norton, McAfee, etc.?
This info is very important for fixing your problem so you must provide me the particular details!