There are step-by-step guides available, including the link from Coppertop. That one puts emphasis on getting someone else to do it, and on reading the manual. Because all configurations are different, a guide cannot be made that tells you exactly how you can do it. There is another article available here, which goes into more specific detail on configuring routers to work with JJ2.

sadCreature, there is no other cause for this problem than a firewall or a gateway\router. Please thoroughly read through both of the links I gave, and if you can't understand them yourself get someone else to do it for you. You should also read the manual for your router. Windows XP has a built-in firewall that may be enabled. You should ensure that it is disabled as well.