It seems i have the same problem:
I was going to test the network code of my game, I ran the game on a Vista laptop and a XP Desktop, but they couldn't connect to each other in XNA. I turned firewalls off, Messed with everything (changing IPs, using LAN, WLAN, ...) and still no luck. I even used different computers but still they couldn't find the game session. I thought it may be my code's problem so i ran samples, but they had the same problem.
my code is:
Create:
...
session = NetworkSession.Create(NetworkSessionType.SystemLink,1,8);
...
Find and Join:
...
AvailableNetworkSessionCollection
availableSessions =NetworkSession.Find(NetworkSessionType.SystemLink, 1, null);
...
I'm using XNA 3.0 :'(