You will have to configure the XP firewall to allow LW access but that's no drama. If you're using another software firewall (ZoneAlarm, Norton, SyGate etc), don't bother with the XP firewall... just turn it off. If & when you need instructions for configuring firewalls, you'll find info here
Firewall setup

I use XP & have never had a problem with Java!! I wouldn't worry about that