It means a firewall of some description is blocking. This might be your software firewall or an internal NAT firewall in you modem/router. That's why I suggested you check the information in both posts here
Connection problems? Check here first! (click on link).
If you have a software firewall (XP has its own firewall) then make sure you only have one running. And then configure it to allow LW full access.
For your modem/router, enable UPnP on it. If it doesn't support UPnP then you may need to forward a port.