Do this test & see if it works
http://www3.limewire.com:6346

If you can't use Bittorrent either, it might be an issue with your ISP.
Is the XP firewall your only software firewall (not a good idea to run 2 together)?
Do you see the firewall icon (brick wall in front of the blue earth)?
What's the brand & model of your modem?
Read through this, it has lots of info about connection problems
Connection problems? Check here first!