The windows firewal doesn't give you very much control, you can add the chat program to its exclusions, so that shouldn't block it.
However, I would recommend you get a third party firewall that affords you some outbound protection, where XP's firewall offers none.
Whilst the windows XP firewall is usually good at keeping your ports stealthed (hidden) it provides no outbound protection and you should consider a third party firewall.
Any malware that manages to get past your defences will have free reign to connect to the internet to either download more of the same, pass your personal data (sensitive or otherwise, user names, passwords, keylogger retrieved data, etc.) or open a backdoor to your computer, so outbound protection is essential.
- Zone Alarm free
http://www.zonelabs.com works fine with avast and has a reasonably friendly user interface. There are others, Comodo, Sunbelt Kerio, Jetico, etc.
See some firewall tests for comparison, some are freeware but many are paid for versions
http://www.firewallleaktester.com/tests.php. Also see
http://www.thefreecountry.com/security/firewalls.shtml