Well, I got the XP firewall all configured as per the instructions above, and i'm still suffering from slow download speeds. I believe my router does NAT (linksys model#: BEFW11S4).

Would bypassing the router by plugging into the ethernet straight from the cable modem and then turning off the XP firewall solve these problems? I know it's stupid to leave the computer that vulnerable, but for short periods of fast downloading, it could be worth it...