Firewalls can prevent some programmes from accessing the internet. Can you give a bit more info ? Which firewall do you have ?
If you've been "unable to set up broadband", how do you get on to the internet ? Do pages actually display ? Do you have another email add which uses, for example, Outlook or Outlook Express ? If so, can you send/receive emails via these other programmes ?
Has your broadband connection been enabled by your ISP ?
Do you use a network, or simply a PC and a modem/router ? If you're not using a network, the LAN connection can be disabled - you won't then get the pair of blue screens with the red cross. This doesn't in itself affect your internet access.
Please give more info and someone will be able to point you in the right direction.