From Bill Sanderson:
I've seen one report where a user seemed to be reporting that having the
Windows firewall running simultaneously with a third-party firewall
apparently resulted in properly configured exceptions within that third
party firewall not working. I can believe this, but haven't tried to
replicate it.
My very distant past experience with third-party firewalls makes me distrust
the process of shutting them down.
On the other hand, I can also attest to seeing this error even without a
third-party firewall involved, so I can't clearly blame it on the firewall
for certain.