"your computer is behind a firewall or router and cannot receive direct connections"

Can someone help me out of this, please!
My brother in Europe can not connect onto my computer, but I can on his. (but can't download anything, keeps always telling me 'the host is busy')
I think it is the firewall settings, just haven't got a clue how to do this.
I am using on my laptop W/XP, McAfee and Linksys wireless setup.
The windows firewall is turned OFF.

Hope this is enough info for you guys out there.

Thanks a bunch,
ULLI.