Make sure you've turned off the XP firewall or you'll have problems! You'll probably find some info about setting up your firewall here
http://www.trendmicro.com/ftp/docume...cc2005-qsg.pdf

Have you read through this sticky?
Connection problems? Check here first!
Do the port test & see what result you get. I can't find any good info about your modem but if it supports UPnP, make sure it's enabled within the modem & ticked within LW's options > advanced > firewall config. Some modems & routers have their own internal firewall, this might be what LW's detecting. Have a read through your manual & check out whether your modem has an internal firewall.