Windows XP has a built-in firewall. To disable it, go to Control Panels -> Network Connections (or Control Panels -> Network and Internet Connections -> Network Connections). Right-click on the connection, click on Properties -> Advanced, and make sure there's not a check in the firewall option.

If you have a broadband connection, and have a router, the router most likely has a built-in firewall. Check the manual of the router to find out how to do port-forwarding.

"You need me. You wouldn't be much of a hero without a villain. And you do love being the hero, don't you. The cheering children, the swooning women, you love it so much, it's made you my most reliable accomplice." -- Lex Luthor to Superman, Question Authority, Justice League Unlimited