I'll go a bit further to say .... make sure either your winxp firewall is off (less recommended) or that you open the ports in it too (more recommended). Make sure that if you've got other firewall software, it's allowing the traffic.

Another thing to consider is your actual upload speed. It could be that your upload is choking your download. Azureus is pretty good about that, but you might want to verify in its configuration that it doesn't think your connection is bigger than it is.

A nice thing about Azureus is it has a feature that lets you test to make sure your configured ports work. Go through the config wizard and when you specify the ports, check to make sure the start port works. If it does, sweet. If it doesn't, that'll tell you there's some sort of problem that's preventing you from doing what you want to do. Also make sure you're using the most recent version (open source is like that ... constant bugfixes and such).