Opening your firewall for SQL Server
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Open security Center from the control panel. You will get this screen.
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Select to manage security settings for Windows Firewall. The firewall configuration dialog will appear.
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Click the Exceptions tab at the top of the dialog.
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Click the add program button.

Then click the browse button.
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Browse to the location of the program you want to grant access through your firewall to.
For SQL 2000:
The default location of the file is:
C:\Program Files\Microsoft SQL Server\MSSQL\Binn\sqlservr.exe
For SQL 2005:
You will need to open up two files the default locations are:
C:\Program Files\Microsoft SQL Server\90\Shared\sqlbrowser.exe
and C:\Program Files\Microsoft SQL Server\MSSQL.1\MSSQL\Binn\sqlservr.exe - Click through the prompts to finish managing your firewall.