Hi,this is my first post here.
I have the same problem in that when I start up Shareaza I get the warning that i have a firewall.
But I did the test you suggested above and everything comes back fine and I also made sure I configured winXPsp2 and Mcafee firewalls to allow access.
So I don't understand why there is a firewall warning unless it does that automatically whenever there is a firewall??