If an inbound connection is getting through your router/modem, it is already a potential threat to other systems on your network, or will be some time, once it detects a hole in your infrastructure.
Unless you have a very old hardware or a modem, I'd suggest first trying to block the IP on the firewall settings of your router.
Enter your administrative web frontend of your router (see manual for standard login and IP)
and enter the IP to be blocked in there.
If this should fail, then install/configure the Windows Firewall on your XP and do as this page says.
If your router is asking for an ip address AND a subnet mask to it:
Subnet masking is for defining an IP range based on how many bits are to be allowed beginning from the right side of the IP address. In order to cater for a single IP address, the address mask is 255.255.255.255 or /32, depending on notation. If you need to define a range, study the WIKI page.
Block all incoming connections - This is already the default on most routers, when filtering is activated.
Then you can allow for selected IP addresses/ranges one by one.