Did you turn Windows XP firewall off?

Have you checked for a firmware update for your Network Anywhere router?

The firewall detected will either be your software firewall or your modem/router. Are you sure your modem doesn't also have a NAT firewall? What brand & model is your modem? And what model is your router?

Try changing the listening port to one between 49152 - 65535 such as 64049. ie: LW's menu bar, Tools>Options>Advanced>Firewalls

You don't run a proxy do you?

Where are you trying to connect from: home, school, work, etc. ?

Who is your ISP?