I don't use XP so I'm not sure about the firewall. I do have alternate instructions which are slightly different which you can check with: 1.
Settings for XP Firewall, & 2.
Setting Up WinXP Pro FireWall
If you're using SP2 you might also be interested in this
MS & 3rd party patches which increases simultaneous connections.
BTW the peer to peer option for upnp doesn't apply to this purpose. I think it's related to networking.
I'm not sure why you can't connect. Are you still seeing a brick wall in front of the blue globe icon at the bottom of LW? See image below to see what I'm talking about.
If you wanted to try other ports to connect with, the best to try would be any between 49152 - 65535. eg: 64049
You'd go to LW's menu bar, Tools>Options>Advanced>Firewalls & change the listening port.