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Microsoft has added Internet Connection Firewall (ICF) to Windows XP. You get to it through the Advanced tab in Network Properties. We see it on our dial-up connections, but our LAN connections do not show the Advanced tab. Is something corrupt? (This is on a new computer.)
Check group policies to see if the Advanced tab is blocked, or if use of ICF is disallowed. The ICF group policy setting is in the computer administrative templates network area, and it is only in effect when the computer is connected to the same domain. This could be why the dial up connection looks different.