OHHH i didnt read it all the way. your firewall..hmm
ok heres what you do (this is for using the windows xp built in firewall, but once you open up the control panel for your firewall, it should be similar)...
1) open up your firewall control panel (start>control panel>windows firewall)
2) click on the exceptions tab
3) click on "add port"
4) under name, put the name (it doesnt matter, just something so YOU remember what that port is for) since you are using it for azures, just type azures for the name
5) type the port number that azures tells you to open up when you go into azures (when you first set azures up, it will test the connection through a port, use that port number)
6) you MAY have to open two ports (the same number, but one for TCP and one for UDP - but i think you just need to open the TCP port) the TCP/UDP selection should be like a check box, or a bullet selection under where you type the number.
7) click ok.