To Erickk:
If you're using 'Windows Firewall' then I suggest going to
www.download.com and download ZoneAlarm. If ZoneAlarm makes your computer crappy or unable to play certain games, then you can easily uninstall it whenever you want.
Once you get ZoneAlarm, and you try to play online games it will prompt you if you allow connection. Click yes, anyways besides that check out my mini-guide on how to put trusted sites and allow all cookies. It has all the information you need.