If the problem is not your XP firewall then it might be your modem/router internal NAT firewall. If it has UPnP abilities or if not, see Connection problems? Check here first! (click on link) under both UPnP & manual port forwarding sections.

Note: You can overcome the SP2 issues by applying patches such as these MS & 3rd party patches

Some programs now demand SP2 so be aware. Also, updating to SP2 will change the XP firewall settings to default, so make sure you have configured it after any such updating.