configurable options for vnc are which port numbers to use, when/what to refresh on the screen, mouse pointer tracking, http daemon (web access), what encryption to use, image compression and scaling.
Typically, I leave all the defaults except I set a password for the server/host.
do all routers have a firewall feature? most soho routers are labeled to have a integrated firewall. I think this should be described as a hardware firewall instead of a software firwall like we're all use to implementing. I don't think these firewalls allow you to permit/block in/out traffic specified by port. Check your documentation.
broadband modem firewall? check docs.
Xp does come with a firewall. pre-SP2 the firewall is turned off by default. In SP2, MS turned on the firewall by default. The settings are located in the network connection properties; this is the same place you can find a list of installed protocols for the connection. I think the xp firewall blocks all incoming connections except for a certain list of ports for commonly used apps. You should add VNC to the xp firewall exception list; found in the firewall settings.