A good troubleshooting method for solving this issue is to remove as many variables as possible.
1) Disable any firewall software and attempt to connect again. This includes the built in firewall in Windows XP.
2) If a hub or router is being used as a means for Internet connectivity, please try connecting your network interface card directly to the cable or DSL modem.
Try searching the knowledge base for your specific hardware/software device such as Linksys or Black Ice for further information.