Hello Sarah
I had the exact same problem just a few hours ago and here is what I did.
I found out that it was the firewall that gave me the troubles, and I got
three of them!!!
1. If youre using the firewall that follows xp service pack 2, there is a
good guide on these pages.
2. If you are using the firewall that follows Symantec Internet security
2003-2005 it should not be a problem (according to Symantec support).
3. My solution was that I have a ADSL Router(Billion BIFAC-7402) with
incorporatet firewall and I had to "open" som gates in there. On the
homepages to the ADSL router there was a really simple guide to solve the
problem under "FAQ". I did it in a couples of minuts.