It has been a long time since I turned off my WinXP Firewall, but you can google it and it will give you a link to a Windows article which will step you through each step in getting rid of it. If you have McAfee enabled, you really don't need to have WinXP's firewall enabled as well. You won't be any more likely to get a virus from disabling the WinXP firewall.

Also, once WinXP is disabled, and if you still find you are having problems, just turn off your McAfee program while playing, then turn it back on after you finish. The likelihood of you catching a virus during the short time you are playing online is minimal.