The false report means a firewall problem. The problem will either be your softw firewall or the internal NAT firewall on your linksys.
1. Make sure you configured XP firewall to allow LW full access: Firewall configuration instructions (click on link)

2. For setting up UPnP on your Linksys see the UPnP section on this thread: Connection problems? Check here first! (click on link)