I found this in a few different places around the 'net - hopefully it's helpful:

Enable Services to Work Through Internet Connection Firewall

When people are having trouble getting to specific programs or services on your Windows XP machine after you enable Internet Connection Firewall (ICF), you may need to enable the program or service to work through the firewall.

• Click Control Panel, click Network and Internet Connections, and then click Network Connections.
• Right-click your Internet connection, and then click Properties.
• Click the Advanced tab in the Properties dialog box.
• Click Settings, and the Advanced Settings dialog box opens.
• From there you can enable most common services just by clicking them, or add your own by clicking the Add button.