Actually the firewall message is triggered for the explicit failure to open any type of network connection. There are two points of failure.
1) The local PC.
2) The Internet connection, itself.
The game assumes it is a firewall issue, when, in fact, it can be other problems. Sometimes a reboot of the PC and/or the Internet router will clear up the problem. Consumer grade routers, due to the caching of connections, can easily run out of open paths for connections. Once that happens, a reboot of the router will clear it up.