when I had it on vista I kept the advanced firewall as per default and never changed anything, all I did was download it, installed it and it just worked for me.
You shouldn't need to do anything in regards to changing firewall settings, at the most would be to add it to the exception list in the firewall but thats about it. But there is one thing I will suggest, I have seen alot of problems with Internet Explorer and Windows Vista if you can try and download Mozilla Firefox and try and connect to the internet, when firefox ask to import select do not import anything and see if it allows you to connect like that. If you can connect with Firefox but not Internet Explorer then theres a problem with Internet Explorer. I have tried all-sorts to fix these problems, for some reason it won't allow for a repair on Internet Explorer, I tried downloading a fresh installation of Internet Explorer 7, went to install it and it wouldn't install so I went for another browser instead of formatting it.