Sometimes Windows Firewall blocks a program that you need to have network access. Corporate IT sometimes blocks UI access to Windows Firewall so that you can’t add a program to Windows Firewall. Thank goodness you can still do it via the command prompt though.
In the example below I am adding MS SQL Server Management Studio as an Allowed Program to Windows Firewall.
netsh firewall set allowedprogram "C:\Program Files\Microsoft SQL Server\90\Tools\Binn\VSShell\Common7\IDE\SqlWb.exe"
Now I can connect to my SQL Server database running on another server.