Sometimes when you 1st open LW it will display that message.

After LW's been open at least 15+ mins, do this test: Bug Report instructions & sample image Is the result True/False? If false then we need to determine why.

You say you're using Norton AV, does that include Norton firewall? If yes, then disable xp's firewall & configure norton's instead. Norton & XP's firewalls will clash with each other.

You say a direct cable connection. Is there no modem or other connection device? If yes, what's the brand & model?

If your result to the bug test is true, then the fault is probably the host you're trying to direct connect to. It helps if you have free upload & downld bandwidth & slots & also having Chat enabled. BTW Direct Connect is not the most reliable tool. I can sometimes connect to someone one moment & 30 mins later can't or vice versa. I've noticed also that sometimes on a 2nd direct connect to the same host, their file results connection quality has changed from 4 stars to less (but this tends to happen with particular hosts which suggests their bandwidth is too busy.) But I guess that is related to points made above & also traffic in-between.