Find the Windows XP firewall in the Control panel. Open control panel from a Start button.

XP Firewall icon is globe with wall. Double click on it.

Choose the Exceptions tab and hit the Add program... button.

Select an application that should be excluded from the firewall supervision and click OK button. Note for LanTalk XP users: Please, set the check box in File and Printer sharing too.

Selected application will connects to the network without any problems. Windows firewall will not block it anymore. But be sure that the Disable exceptions in the Security center is NOT enabled.