You should only have one active software firewall, so choose between XP firewall & McAffee (you should have at least one FW active for your own protection!) Then configure it as described here Firewall configuration instructions (click on link)

The SP2 patch I've never used personally because I don't have XP. But seek answers here http://www.lvllord.de/?url=tools / http://www.lvllord.de/

BTW if you still see a brick wall in front of the blue globe icon at the bottom of LW's interface then the issue might be your modem/router (many of which have internal NAT firewalls.)