Does your DSL modem have a built in firewall? I've had a brief look for specs for it, and it does seem that way, but I can only find the 530+ models. If so, you can use something like
www.grc.com to check if the required ports are open. (Port need to be open for incoming connections to ICQ / DCC / etc. to be able to connect to your server)
It definately sounds as if your secondary connections (To receive the files) are failing because of something like that.
This is most likely not your software firewall (XP/SyGate), but is more likely to be a router setup problem.