Windows XP enables your Internet Connection Firewall, and you need to disable it to be able to receive files through ICQ.

This worked for me:

1. Click Start, and then click My Network Places.
2. Under Network Tasks, click View Network Connections.
3. Right-click the connection that you use for the Internet, and then click Properties.
4. Click the Advanced tab.
5. Click to clear the Protect my computer and network by limiting or preventing access to this computer from the Internet check box.