Rather than running without a firewall (very silly in my opinion), configure the XP firewall to allow LW.
Firewall setup

Your LW version's pretty ancient. If this is your first try with LW, why are you using such an old version?? There have been heaps of changes in LW since 4.8.1 (that's why you don't see the firewall icon...4.8.1 doesn't show it)

You could try downloading the latest LW (4.12.11) & see if you can connect. If you do that, it will uninstall your current LW version. If you don't have the 4.8.1 installer saved then you'll lose that version.

Your router has an internal firewall. You could try port forwarding, here are the instructions.
Port Forwarding for the Linksys WRT54GC

Don't forget the step of setting up a static IP address. LW's listening port, port in the 'manual port forward' box & port forwarded within the router all have to be the same number.