Don't run without a software firewall. Instead, make sure to use only 1 & configure it properly. Check out the sticky below for info about connection/firewall issues...you'll find a link for firewall setup instructions.
Connection problems? Check here first!

Modems/routers usually have an internal firewall, so read the bits about enabling UPnP & port forwarding
If you're stuck, post back with your details
System details - help us to help you