Most ISPs block the default port that Azureus uses. So it is a good idea to change Azureus' port number to something other than the default port. Here's a brief walkthrough on how to do that.
In Azureus click Tools in the menu at the top of your screen. Then click the Options link in the menu that drops down.
In the menu tree on the left hand side of this window Connection should be selected. Pick a random port between 49152 and 65535. Then enter that port into the Incomming TCP/UDP Listen Port box. When you are done, be sure to click the Save button at the bottom of the configuation screen.
Please enter the port you chose for Azureus below.
Click the Security Center link near the bottom left of the page.
Click the Windows Firewall link near the bottom right of the page.
Remove the checkmark from the Don't allow exceptions checkbox.
We will list a series of lines here that will show you exactly how to setup Windows XP Firewall's firewall for Azureus. Go ahead and enter the settings shown below into the Add Port menu.
You should see another page of settings below that need to be added to Windows XP Firewall. Open up a new Add Port page and enter those settings.