If you have XP's firewall turned on I would recommend you try turning it off.

Go to control panel, open network connections and highlight your modem connection. Click change settings of this connections. Select the advanced tab. Uncheck "protect my computer".

Try a couple downloads and see if this fixes your problem.

Please note I do not recommend you run forever without a firewall in place but XP's is a pain at best and does not afford the best protection available.

Good Luck,

Norm