I assume setting up the router isn't a thing you do regularly. As a one-time work-around the best thing to do, maybe: disable the new Windows XP firewall from the Security Center while setting up the router. If you don't know or trust the router firewall, simply disconnect it from the Internet while doing so.
Most routers have a firewall included. So activating the Windows XP Firewall isn't really necessary then. See the manual or the router setup if yours has it.
Hope this helps.
Since upgrading to XP SP-2 security patch, I can't set up my Siemens 4 port cable/dsl router. When I try to talk to the router setup wizard via MS IE, the browser refuses the HTTP address to the router. What needs to be changed in the built-in firewall to connect to the router wizard. It worked before adding the SP-2 patch. I'm I on the right track? Need help.