I've enabled the XP Firewall several times (I still do use it) and it's never prevented actually connecting to a server. Disable the firewall and then try and connect (if you're a dialup user make sure you reconnect first) - if you can't connect then it's not the XP firewall causing the issues.
What error message are you receiving when you try to connect? You can probably get information on whatever it is in this post
If you read all that information, and you find that it definitely, 100% certainly IS the XP firewall, then feel free to post again and seek help on Microsoft's Support