Sorry for late reply. I don't use a linksys, but with my router, I do need to save settings & then reboot the router which properly saves & puts into action the changes. Re-starting LW also.

For PSP I'm not sure. It probably connects through a particular port or a no. of ports. If it doesn't work well, then go thru the manual & find which ports it uses & port forward those. You never did say which linksys model you have. Most work well in UPnP mode which means you don't need to port forward so long as UPnP is "enabled"! However, any of their models that have 54 in the version no. are unreliable due to firmware problems. (There is a firmware crak fix for it. But only recommended for the brave ones. People who have done it properly haven't looked back.)

You said you have Norton Stuff. What norton stuff? Firewall/NIS? or just anti-virus & repair utilities? If you're running norton firewall, then you should disable XP's firewall & configure norton's firewall; Configuring Norton Internet Security