Generally two types of potential causes for the firewall issue. Software and hardware. Software referring to your system's firewall. Check your advanced settings of system (Windows) security (firewall) to see whether WireShare is on the exception list. If not you can manually add WireShare to the exception list.
There are other possible software causes be it a second firewall or other security software that might be having a similar effect.

Hardware referring to your modem-router. If this is the cause then this can be solved by either enabling UPnP within your router or if it is enabled, instead choosing Port Forward the port that WireShare is using. Some brands/models of router have UPnP disabled by default, and some use a version of UPnP that does not work well.
There is also a chance your computer system's UPnP is disabled. https://www.computerhope.com/issues/ch001367.htm which you can check first or second.

How to log-in to your router's control centre? If you don't know you can either check the manual that came with your router or find your brand and model here https://portforward.com/router.htm

First thing to check is if UPnP is enabled. If it is (which means it is not working properly) then the best answer is to port forward your router which means making an exception in the router's firewalling for WireShare and the port it uses. This port only remains open whilst WireShare is running. Port forwarding is generally more reliable than UPnP, especially for extremely long sessions where UPnP might start to fail.

If you do port forward, you need to mirror the settings within WireShare and change WireShare's setting from UPnP to Port Forward using the same port number as the one you enter in your router's control centre port forward rule. You should set up a port forward rule for BOTH TCP and UDP. Traditionally it was more reliable to do a separate rule for each but not always necessary. You would also need to setup an internal static ip address on your local network. Example if your router's address is 192.168.2.1 then you would set your internal address to 192.168.2.2 or 192.168.2.3, etc. Or if your router's address is 10.0.0.1 then you would change the last number to any between 10.0.0.2 to 10.0.0.255 (Router LAN address always ends with .1 and computers on the network can not use the same .1 address.) * I would suggest you choose a relatively high internal address number; example: 10.0.0.30 or 10.0.0.50 or 10.0.0.125 etc. Reason: If your computer is shutdown overnight there is a possibility another device might grab that same address before you restart your computer, thus your port forward rule would no longer work. For at least some routers, a static internal address is not reserved if that device is no longer on the network. Another device such as a mobile phone, iPad, TVs, etc. will obtain the first available address in sequential order after the router's address.
For port forwarding it is very important to set up a static ip address before you create a port forward rule, otherwise the internal address (LAN address) for the rule and your computer might not match and the rule will not work. Internal LAN addresses can change from session to session unless a static ip address has been set.

Port forwarding is sometimes referred to setting up a Virtual Server. My description of port forwarding is probably more difficult to read than the actual process itself.

There are other possible causes for firewalling but much less common. One is in regards to those who use satellite connections. This is either an internet provider cause which means you'd need to discuss the issue with them or a hardware issue. Some satellite service providers use a firewalling system by default.