ok what does your azureus say when it checks your nat \ firewall to see that its letting you in and out.If it does let it check your ports and is fine,all ok.if not change it to a port that works.
Now if it does not,go into your firewall and into settings on applications and see if it is blocking azureus,if so,unblock it by whatever clicking your firewall needs to turn it off.
also turn off xp firewall if you havnt allready,then get your proxyfirewall to do the instructions above.
this was my 1st mistake on installing bitclients now i use 3
azureus
bittornado
emule
hope it helps