I'm posting this because I got nailed on it with many different applications and just now figured out the solution.
With Windows there is actually two firewalls. If you have a AV program with a Firewall there is a good chance your actually running three.
The Windows Firewall that always whines and cries when you disable it in Control Panel -> System and Security -> Windows Firewall is a active firewall that looks at applications and builds a profile on whether it thinks it's good or bad. Since it doesn't analyze or prompt you if you want to allow the application to connect to the internet... this application is pretty much worthless if you already have one from your anti-virus.
Behind the scenes is the Windows firewall rule set. Which can be set by the firewall applications and is immediately active on boot and remains active even if you completely disable your firewall application.
How to look at the real rule set for allowed/banned in Windows is to go to Control Panel -> System and Security -> Windows Firewall and in the left hand column there is a "Advanced settings" click that. This will open up a snapin MSC admin tool which is always a big clue with Windows your now playing with the real deal.
In the left hand column there is "Inbound Rules" and "Outbound Rules" If you know your networking procedures go ahead and edit. If you can't make heads or tails out of it and/or lazy... just delete all of them. No it's not the best thing in the world to do but if it's the difference between working or not working security has to take a number and wait in the line of priorities.
More likely than not your Firewall applications will add in what you need that is crucial anyways. AND if your always on a secured private network it's not a big deal anyways.

This fixed a issue I had with PhpED constantly babbling that UPnP rule for port 7869 was being blocked even though debugging actually still worked.