Hi Roy B,
Your 4.8.1 won't have the firewall status showing, that's a feature of later versions

What you can do is go tools > options > bug reports > view example. Scroll down to 'recieved incoming this session'...if it's false there's probably a firewall problem somewhere.

Go back through the port forwarding setup, it's easy to make a mistake (I know from experience). Did you set up a static IP first? You'll have to, if you haven't already. The portforward.com instructions have a link for that. Also...check that LW's listening port, the port forwarded thru your router & the port in the 'manual port forward' box are all the same number.

You should probably also check your XP firewall config, just in case.
Firewall setup

I just fired up my 4.8.1 & it took a loooooonng time to connect (5 mins at least).