A response to a question not relating to this thread
Ey, Dmitrimm
With Windows XP, you can create a dial-up connection to another computer and your friend can set his pc to accept a dial-up connection from a specific user - go read up about. It's a very simple straight forward VPN connection. It also redirect all the traffic through that VPN which means you loose all outside connections i.e. MSN / Gtalk or Internet Access; becasue the VPN now acts as a LAN for only your two machines.
A friend and I got this to work once and we played Dune Emporer because it was TCP/IP other protocols such as IPX/SPX (Starcraft) doesn't work. Give it a bash, if you can get that working you can start to research solutions such as OpenVPN with which you can create a direct connection that is local only - hope this helps you!
From Start | Programs > Accessories > Communications > New Connection Wizard || Set up an advanced connection >> Accept Incoming Connections [][] hope this helps! If you have more questions; start a new thread somewhere and post the link here (if that is allowed??)
It also helps to have your buddy on the phone, as I have said before, once you create the VPN using this method, all traffic is routed through that connection to the other pc meaning that your chat program wont reach the internet.
Also (not recommended, but makes troubleshooting easier) start this by disabling both your firewalls;
Get a game that is IP based and can create a direct connection to eachother on a LAN, something that doesn't meet on the Internet such as BattleNET
