Yep, you need to turn off your firewall. The XP security center/alerts is on the task bar next to the the time (it looks like a coat of arms with an 'x'). Double click it and I think you can figure out what to do.
service pack 2 (sp2) sometimes gets in the way of steam and its games... you should turn off the firewall of sp2.... go 2 control panel
1. clasic version... WINDOWS FIREWALL
2.xp version..... security center.. then firewall...
from there, make exceptions or turn it off!