Well I use Windows XP SP2, so it will be a bit different for SP1 I think, but here are some screenshots to show the process:
Go into Security Center
Go into Windows Firewall
In the options screen go to Exceptions
Click on Add port to specify the port you want open in windows
Give the port opening a name and the port number... and finally select TCP or UDP (can't remember the difference) you should get both TCP and UDP added to ensure effectiveness.
And finally you open the port on your router or cablemodem(not sure if there is an option for that on modems, don't use them)
Hope this helps a bit, but it's worked for me in most circumstances.