It took me about two weeks to figure this one out!
You need to check your Windows XP firewall (I turn mine off because my modem has a firewall).
Check your modem firewall to see that it is configured properly (open ports 6881-to however many torrents you want to connect to at a time).
You also have to go into dos and run ipconfig to get your address correct. It will spit out something like 10.0.0.8 or something--I don't remember exactly. This info goes in your modem firewall settings. (I don't know which modem you have, but I have a zoom and I had to call the company to configure it. They can usually help you with a problem pretty quickly.)

Good luck!