No, firewalls shouldn't matter. As long as each player can see/write to a common folder in the file system (and you both specify the same folder in the setup) it should work.
found problems with installing since at work i have no access to winnt folder so even with files on shared folder when on multiplayer over lan pc's don't communicate right... :S can't see anyones bets and game crashes.. any possibility all files to be on game folder.?