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It will usually depend whether it is a gateway (router) or a software firewall (like ZoneAlarm).
But unfortunately, many firewalls are not as feature-rich as they should be (specifically: properly forwarding\allowing UDP).
You'll want to find a way to forward certain ports or give your program full access. With routers this usually involves going to a certain address in your browser, and with software firewalls it involves changing the program settings.
The best way to find out how to do this is to read your firewall documentation. Look for keywords "forwarding" or "port triggering" in the case of routers.
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With our extreme gelatinous apology,
We beg to inform your Imperial Majesty,
Unto whom be dominion and power and glory,
There still remains that strange precipitate
Which has the quality to resist
Our oldest and most trusted catalyst.
It is a substance we cannot cremate
By temperatures known to our Laboratory.
~ E.J. Pratt
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