There's not too much info around about your modem but it seems to have no firewalls. You aren't using a router at all? If you're seeing the firewall icon then either a software firewall or firewall within some hardware is being detected!!
Some ISPs give customers a firewall as part of their service - any chance that yours did?

You could try using a higher port to connect. No guarantees though & this won't help you get rid of a firewall... that's a separate issue. See below for port numbers to try. If you do change listening port, you'll have to also change ports allowed within the XP firewall.
Alternative Ports