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)
Connection problems? Check here first!

If you're stuck, some details will help us.
System details - help us to help you