Start - > Control panel (or classic menu, start->settings->control panel).
Select network, then network connections.
Right-click your connection and go to properties (the one should say "enabled" and will say firewalled).
Click the advanced tab and un-check the firewall box.
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That being said, I'd find ways around disabling a firewall. You may want to lok at a hardware firewall or at least a free one that will allow you to create special connections *through* it rather than disabling it. Tiny Personal Firewall is nice like that.