Vista - NAT issues with Vista Home Premium

I have 2 PC’s (just want to use my Vista 1) connected to the same router that
is connected to a cable modem – the Windows XP machine has no problems bar
its age and spec. I have a brand new PC with Vista Home Premium installed on
it, now it is this new PC that I am having NAT problems with and port
blocking.

I have installed Windows Live Messenger and when setting it up I went into
Tools/Options/Connections and I get an error message:- "You are connected to
the internet through a UPnP port restricted NAT. The Windows Firewall is
enabled. (User)"

I have no option to run the troubleshooter (greyed out)…….

If I turn off Windows Vista Firewall I get:- "You are connected to the
internet through a UPnP port restricted NAT. (User)�

Since this I have installed a Media server software and have to reset the
port it uses every time as it is always stating that it is blocked.

I have downloaded OpenOffice via a torrent client which also stated that I
had NAT problems.

I have no NAT issues at all on my older XP PC and as a result I believe it
is safe to rule out my router and modem……..I have only disabled Windows
Firewall and this had made no difference, but I have not tried uninstalling
it (no idea if that would make a difference)