Make sure that you're only using 1 software firewall & that it's configured properly.
Read the thread below, it has heaps of info about connection/firewall problems & solutions. If you're using a router, it probably has it's own internal firewall...check out the sections about UPnP & port forwarding!
Connection problems? Check here first!

If you're stuck, post back with your details (post #2 of that thread will tell you what info we need):wink: