The chatroom must require specific ports to be opened on one of the three firewalls that you have (ZA, ZAPro, and the ICS).
Look on the FAQ for the chatroom, it should tell you what ports need to be forwarded to the XP PC - if not contact the forum moderator.
Once you know which ports they are, they will need to be opened / enabled / forwarded on each firewall.
If you are not sure how to do this, ZA have good advice on their site, MS have good advice on their site, and Google will find good and bad advice from any site.
If you are not sure what a 'port' is in this context, think of it as a little like a radio channel. Your firewall will always let you communicate via port 80, as that is the worldwide standard for Web browsers. However your firewalls are set to block communications on any non-standard ports that your chat software may require, e.g. ports 500 to 510.
Note that once you open up those ports, you have created yet another hole in your computer's defences. Only you can judge whether this is an issue for you.