Just because it says you are behind a firewall does not mean that you have a problem. Does it work? Are you having problems. IF you are, I'd be inclined to look elsewhere. If you are having problems and you are behind a router, I'd suspect the router. If you are NOT using a router, and are having problems, you could BRIEFLY turn off the firewall to see if that really is the problem.
I never used the XP firewall, so I'm not experienced with it. I used Zonealarm free with XP.
Do make sure that you are really having problems before you go to a lot of trouble debugging.