If your ISP is like mine, they may be blocking server protocols. In that case you either need to upgrade to a static IP with them, or find another ISP.
If you have port forwarding set on, make sure that it is going to your box that has TWGS on it. Also make sure that your software firewall on that box allows the TWGS port to send and receive. Sometimes that XP has that Internet TCP/IP filtering set on, if so you need to add your TWGS port to allow it. It is the built in software firewall in XP.
Select your LAN definition, choose properties, and then advanced. Go to Options, and then click on properties. Do you have the "Enable TCP/IP filtering" checked on? If you want this set on for all adapters, you need to add in the TCP/IP port your TWGS server is using to allow it. If not, it will block access to it, which is not what you want. Try unchecking this box and then try to connect to your TWGS server from the Internet. Did it work? If so your firewall was blocking it.
If the built in XP Firewall is too complex for you, turn it off and download this one:
http://smb.sygate.com/products/spf_standard.htm
It is free and you can control which programs you want to access the Internet rather than shut off ports and other stuff.