Have you configured the XP firewall? Also, make sure you're only using 1 software firewall
Firewall setup

Read through the thread below, it's got lots of info about firewall & connection problems! If you're using a modem or router, they have their own internal firewalls... read the sections about enabling UPnP & port forwarding. Do the port test & see if it works.
Connection problems? Check here first!

If you're still stuck, post back with your details

OS(Win XP etc)
LW & Java version (help > about LW & you'll see)
Firewall you're using
Modem/router brand & model
ISP
Connection type (DSL etc)
Where you connect from (home, school etc)
Are you sharing a connection with other computers
Is this your first try with LW