LW has nothing to do with your connection. That's between your set up & your isp's agreeance to p2p. If yours doesn't shape p2p then good! But some do!
If you still get a firewall icon after setting up your xp firewall & setting up UPnP on your linksys then consider manual FF: Find your model & firmware version here
http://www.portforward.com/routers.htm