All wireless connection devices have NAT firewalls afaik. It might not support UPnP. Not all devices do. And I know I never found instructions on how to enable it for BT. Port forwarding might be the way to go; PortForward.com - Free Help Setting up Your Router or Firewall BT is on left side of page.

Try changing over to XP firewall first. If still no good, then try the PF.