Do you also have a Norton firewall? If you do, make sure that the XP firewall is off. If you don't have NPF, double check the XP firewall config.
Read this, there's a lot of info about connection/firewall probs (including internal firewalls within modems/routers

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Connection problems? Check here first!
If you're stuck, some details will help us.
System details - help us to help you