Make sure the XP firewall's off if you're using another firewall. I can't find much info about configuring a Kaspersky firewall, visit their forum & see whether you find info there.
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A few people have had connection problems with the Java version that you're uisng. Update to the latest Java here.
Java SE Downloads
Download the JRE offline installer & remove any other Java versions from your computer before you install this one.

Try port forwarding for your router, the instructions are here.
Port Forwarding for the Linksys WRT54GS
Don't forget to set up a static IP address first. LW's listening port, port in the 'manual port forward' box & port forwarded within the router setup should all be the same number.

If you're still stuck, try the advice here all of a sudden will not connect (a fix to try)
Start off by deleting LW's preferences folder & then try replacing the gnutella.net file.
You'll know if you've deleted the preferences folder properly...when you start LW, you'll go through the setup wizard again & all the settings within LW's options will have changed.
If you get confused with all that, have a look at this post.
One bar, connection problems