If you are still unable to host a server on the internet ( said in "no-expert" way ) :

1. You might be on a LAN or unbridged modem and the modem / router is too stupid to know what computer is hosting the server.
-Try reading this : http://portforward.com/help/portforwarding.htm
-On the site is also settings for almost all types of routers and modems.

2. Have you turned off firewall? Remember, XP comes with a firewall standard on.

3. Even portforwarding might not work. You might have to set up bridge mode, specially if you are running both a modem and an additional router ( for LAN or WLAN etc. ).
-Not all ISP's allow bridge-mode. Talk to your ISP first, and if you are allowed, make them help you set it up.
*Bridge-mode disables a modems capability to give out IP-adresses ( DHCP will be turned off ). This means that unless your ISP allows for you to have several IP's ( here I got 5 IP's ) you will only be able to connect 1 computer to the internet, unless you get an additional router. Check up on how many IP's you get from your ISP.

4. If you bridge a modem without several IP's you need an additional router ( 3Com OfficeConnects are good ) that are capable to give more IP's and still work with the modem as if you were bridged even though you have a LAN-adresse.
Not all routers are "smart" enough to do this correctly, but the 3Com OfficeConnects works awesome, the router always find the right "path" to the computer when it comes to setting up servers etc.

Bridge-mode fixes most problems when it comes to connections and servers...
Short explanation : Bridge STOPS your modem from doing anything. Except for "translating" your information into the signal you should use to "talk" to your ISP. In other words, you are "directly" connecting to the internet, since your ISP gives your computer the internet-IP your modem usually gets instead of going first to the modem and then it gives you a different IP. In normal mode, the modem act as a server.

This MIGHT help a bit, though, most people never bridge. Too bad for them.