The firewall detected may either be a software firewall, or elsewhere such as your modem/router. Most routers have NAT or similar which acts as a firewall. Question is whether they have UPnP which works correctly or is turned on, or if they have this function at all.
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Note: be sure you don't have two software firewalls turned on. Only keep one active. Two software firewalls clash and cause problems, also results in less security, not more.