How do I add an exception on windows XP?
Click on Start > Control Panel > Windows Firewall

-Click on the Exception Tab (Located toward the top)

-Click on Add Port
 

You can name it what ever you want you will just need to define the port number. In this Example I am adding Radmin as an exception. You just need to find out the port number of the application.
 

If you do not know the port number you can use another Option where you can add an application as an exception.

-click Program
 

Find your application in the list. If you application does not show up in the list you can also browse to the application.

-Click OK