If XP, you may have the XP Internet Connection Firewall enabled. Click Start, Settings, Control Panel, Network Connections, Local Area Connections, General tab, Properties button, Advanced tab, and uncheck the box, "Protect my computer and network....... etc", click "OK"
Description of the Windows XP Internet Connection Firewall
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HOW TO: Enable or Disable Internet Connection Firewall in Windows XP
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HOW TO: Open Ports in the Windows XP Internet Connection Firewall
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