1st, configure XP's firewall; Firewall configuration instructions (click on link).

Now if you attempted port forwarding, (remember if you're running LW on more than one computer & each is port forwarded they must be PF'd with different ports ... not the same one. And PF must be done from each computer since PF is based around the comp's network ip), then you should also make sure you configured LW for Port Forwarding. Have you been to http://portforward.com/routers.htm to check your instructions or similar ones.