I honestly couldn't say why one version detects a firewall problem while another one doesn't! Updates effect people in different ways & a few people have had problems recently, since updating to the latest version. Since you're only running the XP firewall, have checked it's configuration & disabling it doesn't remove the firewall icon, you can probably rule that out as the root of the problem.
I can't find out much info at all about your modem, if it has an internal firewall (e.g. NAT) you could look at enabling UPNP or port forwarding. There's a lot of info about this within the link below
Connection problems? Check here first!