I've the same problem since yesterday. Turning off windows firewall doesn't do anything. Only turning off webshield works.
Essentially the windows firewall shouldn't get in the way, depends on your OS (not mentioned), XP has ZERO outbound protection, Vista & win7's Firewall has outbound protection, but is disabled by default. So unless you enabled outbound protection they shouldn't get in the way either.
You don't say what you have done to try and resolve the problem as the Original Poster did ?
This saves us repeating things you have tried and shows us what you might not have tried.