If it's just the windows firewall then try disabling it? It's not much use anyway lol.
But if you don't want to disable it, do the following:
Go to Start>Control Panel>Windows Firewall
Make sure "Don't allow exceptions" is UNchecked.
Go to the Exceptions tab
To open a port, click the Add port button.
The ports you must open are 15779, 15881 and 15883, both TCP and UDP. Name them SRO1 through SRO6, and then click OK. Then try running the game.
If that doesn't help then I really have no more advice for you.
Keep track of the following thread:
http://www.silkroadonline.net/sro_board/bhboard/bh_postview.asp?ForumID=12&TopicID=55998
If anyone finds a solution, it should appear there.
I must go to sleep now - good luck.