Did you ever work out if you have a Norton firewall as well as the XP one?
Try going start > control panel > network connections > right click on your local area connection > properties > advanced. You'll see Windows firewall there & I'm guessing if you have a Norton firewall then you'll see that too (don't use Norton so this is a bit of a wild guess)!!

If you do have a Norton firewall, make sure the XP one's turned off & just configure the Norton for LW.