no don't do that. Neither should be disabled. Simply make an exception for Shareaza in your XP firewall. Go to Start menu -> Control Panel -> Windows Firewall, open. Click on Exceptions, press Add program & add Shareaza. You can also use the Ports button to add TCP and UDP port ranges.
As for your router, depends what model you have. You might need to port forward the device to open TCP & UDP port ranges for Shareaza to connect & listen to.