I'm assuming you're running XP.
Go to Start > Control Panel > Performance and Maintenance > Administrative Tools > Services
Scroll down until you see the "Windows Firewall" service (it might say "Windows Firewall/Internet Connection Sharing")
Right click on it and click Properties
In the General tab, where it says Startup Type, select "Disabled"
Then right below that click "Stop"
Click "OK"
If you don't do this, it will restart every time you reboot.
Trust me, all firewalls need to be OFF when playing. It might look like it works some of the time, but it will cause major connection issues on Dynaverse if you have a FW running.