Is WinXP's firewall turned on?
If you're not sure, go to your network connection (Control Panel then Network Connections). Right click on your network connection and go to properties. Go to the advanced tab and check to see if the Internet Connection Firewall is marked. If it is marked, then you'll have to manually open up the necessary ports. You can do this by clicking on the Settings button and then clicking on the Add button in the new window that opens. Enter a description (I'd suggest the name of the game), your computer's ip address, then put in the port number in the last two boxes, and finally mark TCP. You'll have to repeat this step choosing UDP instead.
Hope this helps.