Can you contact your ISP about it? They are always really helpful towards people who don't have routers.

But before you do that, make sure there is no firewall on your computer. Windows XP includes a built-in firewall that is on by default (I think) in Home Edition.

Go into Control Panel and go to Network Connections. Double click on your network adaptor (a box should come up), and then click Properties. Go to the Advanced tab. Now there should be a checkbox about a firewall. If it is checked, uncheck it (for now).

If it was not checked in the first place, and you're sure that you have no other firewalls running, contact your ISP and ask them about the problem. If it was checked, and now JJ2 works, you can turn it back on and go into the Settings button where you can specify individual ports to allow through.