Sounds like your audio files have QuickTime player as their default program. You need to change it to iTunes. See How to change default program in OSX & use iTunes as the program to select for both mp3 & m4a files.

As for your firewall issue, we need more information; System details - help us to help you (click on blue link)

Make sure your OSX firewall is configured or turned off; OSX Firewall settings for Tiger. However your firewall problem might be your modem/router.