Isn't it the "connection sharing" option where you add the ports in your pictures Gorin? 
In Win7 it would take another way (Control Panel -> Windows Firewall -> Advanced Settings -> add it there 
OR much better way to disable the whole thing (firewall rather not needed if your are behind a router)
(sorry, pics too tiny and wrong language for me  

 and not been on vista for a long time..) 
//EDIT: 
friend of mine had the problem with "NexusBF Master server unavailable" windows before game starts. port forwarding in his router was fine (did a portscan), no software-firewalls were activated, but error didn't vanish.. 
Your solution through connection sharing was the only option - don't know why, don't even have a small thought.. but it helped! thanks for that 
