Gee... I just got the strangest experience.
I had just wiped out my production server (purposefully), reinstalled Windows 2003 and all kinds of softwares, and got a connection from the Cable Internet.
I installed CFP with the recommended automatic settings... and promptly lost all connections. Tried adding various rules, even resorting to 'Allow All' ... still no connection. Uninstalled CFP, and got connection again.
But... I can't live without CFP protecting my server!!

So, I installed CFP again, this time
not using the recommended automatic settings (i.e. doing everything manually), configured the necessary zones & rules & whathaveyou's...
And I got my connection back! (With CFP happily protecting my server

)