Please decide which situation applies to you on the following list:
You only have the Windows firewall on your computer you want to play with.
The aLobby already sets this firewall correctly for you during the installation, if the game was installed before installing the aLobby. Please keep in mind, that the Windows Firewall must be enabled for it to work.
You have a third-party firewall (Norton, ZoneAlarm ..) on the computer you want to play with.
You have a firewall on the router.
Note the port information
here.