Each P2P application uses a different port. Many now allow you to enter the port number you want to use. For example, in uTorrent select Options, Preferences, Connection and note the number labeled "Port used for incoming connections".
In Windows Firewall (Start/Control Panel/Windows Firewall), select Exceptions, Add Port and enter a description and the port number noted above. Then select TCP and OK. Repeat the process and select UDP this time. This will assure that your firewall allows all P2P traffic for this specific P2P application. (Note adding both TCP and UDP is overkill but since it's not always obvious which protocol the P2P software uses, this assures success. If you know which protocol (TCP or UDP) then only add the appropriate port.)
Why MSN doesn't work through Windows Firewall, I don't know. It should ...
Windows Firewall does work and is appropriate for "normal" users since it seems to interfere less with typical usage and is more likely to be retained by the user. It's not as comprehensive as other products such as ZoneAlarm, but I'd rather have people use it than nothing.
Note though, if you have an ADSL modem AND router combo, the router also needs to be set up to forward the port to your PC. So you may have to set up Windows Firewall AND your router. For example, with the Linksys WRT54G3G router, select Applications and Gaming, Port Range Forward and enter the same details you entered above. But in this case you also need to know your PC's IP address. If you use DHCP then you need to change your PC to a static IP address and enter that into the router - see below.
To change to a static IP address, select Start/Connect To, right click your network connection and select Properties, scroll down to and select "Internet Protocol (TCP/IP)", and click Properties. If you know the gateway and dns ip addresses then enter them and off you go. If not, to find them, before changing anything, select Start/Run and enter "cmd" (without the quote) and then enter "ipconfig/all" (without the quote). Look for your network card and the entries listed as "Gateway" and "DNS Servers". Enter these ...
Good luck
