Windows XP comes with an integrated firewall, but I don't think that's the problem. If your ethernet connection is one that belongs to a college for example, I would assume that they are blocking gnutella traffic.

Is your roommate using LimeWire, BearShare or any other gnutella client? If not - my guess would be that Gnutella is blocked but it's really difficult to be sure.

In any case, if there is a problem on LimeWire's side, BearShare http://download.bearshare.com/BSTEST430b123.exe (test version without bundled software) should work. If BearShare doesn't work either your connection cannot be used for gnutella.