Cable connection settings?

Hi,

I surf the internet on a cable connection that uses a LAN connection. I also
use Win XP's firewall.

I have some problems with Windows Media Player 9 : it can't play video files
when I click their links on web sites, even if I know those clips exist
(right click then save traget as works).
In Outlook Express, newsgroups, sometimes I can't connect and a dialog box
prompts me to try again, then it works.

So I'd like to know what are the right settings for a firewalled LAN
connection, LAN properties and Windows XP's firewall properties.

Thanks

-g