Since the update I am fully connected. I see the firewall icon and yes, it was showing in the previous version.

Here are the details...

OS: Windows XP (SP2)
LW Version: 4.12.6
Java Version: 1.5.0_08
Firewall you're using: I'm not sure of the name, but it's the windows firewall I got from the SP2 download
Modem/router brand & model: Hmm, not sure how to answer this. I use an Ethernet cable though.
ISP: AT&T
Connection type: T1
Where you connect from: School (my dorm)
Are you sharing a connection with other computers: Yes
Is this your first try with LW: No. I was using the previous version for over a year

How did you have your router set up for the previous version (port forwarding, UPnP enabled or neither)?

I don't know much about that. If there was a default setting for those, I never changed them.