You don't have to disable your firewall. Just give the aplication you are using access to the internet.
If you have a virus scanner you should in some cases disable that, as it can make your game pretty leggy.
If you would have help in howto configure your firwall, you can let us know which game it's about, and which firewall you are using.
ofcourse if you don't want to post it on an open forum you can IM or email any of the MOD's here who you trust.
[ as I am one of the main network dude's around here, just to let you know I am not that much online the comming 2 days. Although I try to be here atleast twice a day. ]