Yep, direct connect won't work if either you or the other host (or both!) are firewalled. Do you see the firewall icon (brick wall in front of the blue earth)??
If you don't see it, then it's the other host with the firewall problem.

If you see it, go over to the Connection Problems section & have a look at the sticky there. It will tell you about configuring your software firewall, enabling UPnP if your router supports it & internal firewalls within modems/routers