Select "Start", right Click on My Network Places,  and click and Properties. 

Now right click on your Dial Up Connection.  And choose properties again.  This will bring up another window with a few top menus. 

Find and click on "Advanced" and be sure that there is a check under "Internet Connection Firewall".

If you cant find "My Network Places", you can get there by opening "My Computer" and looking on the left side and click on "Control Panel" and look for "Network Connections"