The Di-Link will either need to have UPnP enabled or manual port forwarding. I'm sure you saw it but just to verify, there is a di-link instructions link here under UPnP section Connection problems? Check here first! (click on link)

Also, double-check your XP firewall. I believe you may need to enter a port for LW also; Firewall configuration instructions (click on link)

Your problems sound more to do with a software or modem/router NAT firewall. Also, try not running winmx at the same time.