Are you sure you don't have any other firewalls running, apart from the XP one?

Go right back through the firewall instructions (the link I gave in another post)...start from scratch & do everything again. Reconfigure the thing. See if that helps.

How do you have your router set up (UPnP enabled, port forwarded or neither)? When you got a turbo connection...did the firewall icon go away? If you didn't notice at the time (too excited by the turbo maybe), turn off the XP firewall for just a minute & see what happens with the firewall icon once you've got a good connection.