With your current settings WebShield isn't protecting your system anymore. As there is no way to get the automatic redirection working with Comodo (in XP, it seems its working in Vista, at least for most people), you will have to manually set WebShield proxy in your browser and other programs you want to protect. The way you set it depends on the program you are configuring, but the correct settings are Proxy adress: 127.0.0.1, Port: 12080.