I need to run a program that requires a certain port to be open to access the Internet, but the port is closed....
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How can I configure that port to open only when that one program needs to access the Internet?
You don't mention in your question where the "port is closed." I'll assume you're running Windows XP with Service Pack 2 and are using the standard Windows Firewall without any other security products running on your system. (If you are, you'll need to consider the effect of those products as well). It also sounds like you're trying to run software on your system that requires outbound access to the Internet. If you're trying to run a program where you act as a server, that also changes the scenario .
Windows Firewall does not regulate outbound traffic -- it's only an inbound filter. For the vast majority of workstations, Windows Firewall works fine out of the box. Unless you're trying to share files out from your computer or offer some other service to users on your local network or the Internet, you don't need to create any firewall exceptions.
In your case, it sounds like there might be another firewall involved that is performing outbound filtering. While, you haven't mentioned anything about your computing environment, I'd suggest checking with your local administrators to determine whether there is a network firewall between you and the Internet. If there is, you may need to ask them to open the appropriate ports to allow your application to work. If it's not a standard application, expect them to ask you to identify which port(s) you need open. You can obtain this information from the program documentation or by contacting the manufacturer's technical support.
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