Please refer to the following website for detailed information about how to open ports in the Windows XP Internet Connection Firewall:
http://www.microsoft.com/security/protect/ports.asp

For your reference, I have also included some related articles from the Microsoft Knowledge Base:

Title: Enable or Disable Internet Connection Firewall in Windows XP
Link: http://support.microsoft.com/default.aspx?scid=kb;EN-US;283673

Title: How to Manually Open Ports in Internet Connection Firewall in Windows XP
Link: http://support.microsoft.com/default.aspx?scid=kb;EN-US;308127

Title: Programs Require Manual Port Configurations with Internet Connection Firewall
Link: http://support.microsoft.com/default.aspx?scid=KB;EN-US;307554

Title: HOW TO: Determine Which Program Uses or Blocks Specific Transmission Control Protocol Ports in Windows
Link: http://support.microsoft.com/default.aspx?scid=kb;en-us;281336