Here's the most likely scenario, either you have a firewall you weren't aware you had, or your modem/router has a NAT firewall (most non-dial up modems do) or your isp is blocking. So to find out, have a look at each of the sections here Connection problems? Check here first! (click on link)

Remember XP has its own firewall. Modems/routers should have UPnP ability which may need to be enabled to allow LW access thru the nat firewall. If yours doesn't then you may need to do manual port forwarding. Instructions for these issues are discussed in the link I gave.