See if the XP Firewall is turned on. Turn it off.
Perhaps you have to properly configure the game. I suggest you download the latest patches - You may have an outdated version and attempting to connect to a server with a more up to date version results in a not being able to connect error. However, most games notify you if the host and the client versions donot match.
You really have to install more adequate security. You are practically welcoming viruses, trojans, spyware, hackers and all sorts of trouble.
