Are you using the WinXP Internet Connection Firewall?

"To enable or disable Internet Connection Firewall

Open Network Connections
Click the Dial-up, LAN or High-Speed Internet connection that you want to protect, and then, under Network Tasks, click Change settings of this connection.
On the Advanced tab, under Internet Connection Firewall, select one of the following:
To enable Internet Connection Firewall (ICF), select the Protect my computer and network by limiting or preventing access to this computer from the Internet check box.
To disable Internet Connection Firewall, clear the Protect my computer and network by limiting or preventing access to this computer from the Internet check box.
Notes

To open Network Connections, click Start, click Control Panel, click Network and Internet Connections, and then click Network Connections."