I just did a quick check in 'control panel' to tell you where to turn off the MS firewall that installed with SP2, and I can't find it. Several members on this site had problems accessing other sites because of that, and had to turn it off. I turned mine off, but now I've forgotten where.
It's most likely the router firewall that's causing your problem, and I'm also waiting for someone with the info to turn it off.
I can join, but no one can find me other than my neighbor when I host, but we share the LAN.