See 1. OSX Firewall settings for Tiger (principle applies to earlier OSX versions also!!!)

2. But your firewall issue might be either or both your software firewall & your modem/router which prolly has an internal NAT firewall. For clearing LW thru NAT see the UPnP section here Connection problems? Check here first! (click on link) (half way down page!) If still problems then please specify your modem/router brands & model numbers/versions!!!? BTW UPnP means the program communicates directly with the connection device to open whichever port(s) it requires. LW only requires one port for listening. Some devices don't have good UPnP implementation & are thus better off manually port forwarded (see section 3 of link I gave.)