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.