Where it concerns applications like games that run full screen, it's advisable to add these manually, allowing all activity initially until you can identify the ports it uses, unless you know those beforehand of course.
Once you've established the initial rule, launch the game, play a few minutes, then exit and open the Logs menu. Right click anywhere in the listing and choose
Export HTML. Give it a name and then save it somewhere on your hard drive: the "My Documents" folder will do.
Open the file and hit CTRL+F and type in the name of the game. If you're using Firefox, the search will automatically jump to that name. IE does something similar, but you have to click "Find next" first.
Some of the entries will only be informational, but the ones you need to take note of are those that specify that certain components need to be approved. For example, in the first image below, I've ringed three files that belong to "Punkbuster" for "Joint Operations Typhoon Rising" which need to be added to the Components Control menu. You'll no doubt find similar things for your own games.
It's also a good idea to check the IPs in context of, in this particular case, Steam in case any of them are being blocked by the firewall. There's a free utility called IPNetInfo which you can download from
here which will help you identify which IPs belong to Steam. Just type in the IP adress in IPNetInfo's search field and click OK. Then double click the result and you'll see something like the details shown for Novalogic which is the developer and publisher of Joint Ops. All you need to do then is to define a rule to allow that IP which might be either incoming or outgoing (or both), in addition to the reason such as "PORT UNREACHABLE" for example. The reason will be shown in the log.
It's all a bit laborious I know, but worth taking the time and effort to track these things down in order to avoid connection problems with your game.