Are you using a router? If so open (forward) port # 6881 for UPD and TCP. If this is not the case, then the only other explanation would be that Windows Firewall is enabled. Go to your network connection properties (in Network Connections), once the window pops up for your connection, hit the advanced tab, and it will let you enable/ disable the firewall (in sp1 for xp) or if you have sp2, when you turn Azureus on, it should automatically pop up saying if you want to block or unblock Azureus, if this doesnt work then go to control panel, windows firewall and open the ports manually (very easy if you have sp2 for xp), and its the same port.
I hope this helps.