I assume this application is already on your Network Security Policy.
It could be like “Allow IP any any” then all the above traffic is already allowed.
If you wish to narrow it down you can add rules;
Select application, right click, Add rule.
Allow, TCP, Out, Source Any, Destination Any, Source Port Any, Destination port 80
Allow, TCP, Out, Source Any, Destination Any, Source Port Any, Destination port 443
Allow, TCP, Out, Source Any, Destination Any, Source Port Any, Destination port range 30440-30449
For this we need to open global rules if you have used Stealth ports wizard to block all incoming traffic.
There are two ways you can do this, you can create a “port set” that contains all these port and ranges, or you can create multiple rules with these ports.
I’ll go for the port groups approach;
Open Network Security Policy and go to Port Sets.
Add a new port set, give it a name like gameXports.
Select the group, and right click “Add” now add the following
Port range 9000-9999
Now APPY this policy otherwise the group won’t show up in the other policy windows.
Open the policy again and go to Global rules, click Add
Allow, UDP, In, Source Any, Destination Any, Source ports Any, Destination ports “A set of ports” and select GameXports. Make sure you move this rule above the block rules and press Apply.
Now repeat the same procedure for the Application rule so it’s also allowed to receive this traffic.
Accept for Allow I’d recommend Allow + Log so you can log the IP’s of the servers that this game uses.
If you wish you can then narrow down the rules also based on source ip range.