Sorry about the double post. I actually edited the original one, but my two minutes ran out before I could finish.
Could someone delete the above post and leave this one behind? Thanks!
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To turn off the firewall, or to allow exceptions, do the following:
For Windows XP View with the "Category View" for the control panel: Start-->Control Panel-->Network and Internet Connections--->Network Connections
For Windows XP "classic" start menu and "Classic View" for the Control Panel: Start-->settings-->control panel-->Windows Firewall (skip down to "The Firewall" area).
There are other, faster ways of doing the above, but this way is easier to explain since the other ways depend on your individual settings.
Highlight your connection, right click, choose properties
Select the "Advanced" tab.
Choose "Settings"
The Firewall:
Under the "General" tab, you can turn the firewall off, or leave it on and llow expections. If you turn the firewall off, just ignore the next couple of paragraphs. =)
To add a program that Windows Firewall will allow through, choose the "Exceptions" tab-->Add Program-->Browse for Neverwinter Nights' exe file. Click "Open" and it'll appear in the list. Click "Ok."
To add a specific port, click on the "Add Port" button. Choose its name and enter the port number, and whether or not it's TCP or UDP. Click "Ok."
To turn off the security notifications, go to your control panel and choose either "Security Center" (it's the same in either view). On the left-hand side, you'll see an area with a heading called "Resources" with five links. Choose the bottom link, "Change the way Security Center alerts me."
That will pop up an "Alert Settings" window. For each area that you do not want to be bothered by alerts for, uncheck the box. There are: Firewall, Automatic Updates, and Virus Protection.
Hope that helps.