If you are at school or work, don't try!
You don't have access to the needed resources to do any change.
You may ask politely to have some exceptions set that will be active during your breaks and lunch time, but nothing more.
Trying to bypass the firewall at work can get you fired. If not, it can postpone a salary raise or promotion or expose you to some diciplinary measures.
At school, it can result in detention time, you loosing ALL internet access or your expultion.
At home, on your computer:
It depends on what kind of firewall is involved. Software on your computer, or hardware on your router.
For the software one, and assuming Windows and the default firewall:
From the control pannel, open the firewall configuration.
(it's icon is identical to the image at the top left of this page with the "Fix Firewalls" text)
On the general tab, leave it activated and make sure that "Don't allow exceptions" is UNchecked.
In the "Advanced" tab click the "Parameter" button next to the Security journal and check the top check box. Relocate the journal's location to somewhere convenient for you. Click OK.
Try your game. Quit it and open the journal.
If the journal mention a blocked port, use the "Add port..." button to add it.
For the hardware one on your router, the exact procedure depends on the brand and model.
As I don't know that information, I can't help you for that.
If you dig in it's configuration pages, you should find places to enter several kinds of exceptions, ports settings and forwarding rules.
Electro, May 2011