rajon,
Before this thread goes further....I think you should mention what Firewall you are using. It might help.
Firewalls come in 3 basic types:
Applications based. These are the simplest to use since all the user does is decide whether an application should access the internet or not. Zone Alarm is one of the most common around.
Rule based. These are a bit more complex but do allow the user more versatility to protect the computer from prying eyes. Kerio and Tiny are good examples.
App/Rule based. These have the best of both worlds. They contain the simplicity of the Applications Based, and the advantages of the Rule based with the option not to use it. Sygate is one I have used.
It is difficult to explain how to configure your Firewall unless I am familiar with it. Have you tried the HELP file that comes with it???
I will assist if I can.