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.
This was first published in April 2006