Can you give us a total desciption of your set up: 1. XP SP1 or SP2?
2. ram? 3. HDD space available?
4. Connection type?
5. Modem & router brand name & model numbers?
6. Where are you trying to connect from (home, school, work, etc.)?

These details are vital if you want us to find out what your connection problem is.

What do you mean you had difficulty downlding Java. You mean the Sun Java 1.5? here! 3rd on the list (take the JRE)