Don't use 2 software firewalls. They have a tendency to clash with each other and result in unreliable results & less security. So choose one or the other. In your case, either XP or PCillon firewall. Disable the other. And make sure you configure the one you use to allow LW full access.

Most routers have internal NAT firewalls. Some have UPnP which allows a UPnP capable program like LW to communicate with the device to open a port when it is open. However, different brands of routers use different UPnP technology, and some UPnP implementations are not reliable. It's my guess that this is your problem. It may take some time for the UPnP to be triggered or else, it is simply unreliable. The best answer in that case is to forward a port in the router.

Their website was not very helpful. After a search, it seems other people have had problems with that device. See Forums - Can't connect to my Orange Livebox - PC Advisor; ie: the firewall not turning off.