STEAM ports selection

Hi everyone,
I am having a problem running steam and I went to the steam forums and it says I need to allow all these ports for steam to work properly:

Steam Client

* UDP 27000 to 27015 inclusive (Game client traffic)
* UDP 27015 to 27030 inclusive (Typically Matchmaking and HLTV)
* TCP 27014 to 27050 inclusive (Steam downloads)
* UDP 4380

Dedicated or Listen Servers

* TCP 27015 (SRCDS Rcon port)

Steamworks P2P Networking and Steam Voice Chat

* UDP 3478 (Outbound)
* UDP 4379 (Outbound)
* UDP 4380 (Outbound)

The problem is how do I do that on Comodo Firewall? I went to Firewall>Network Security Policy>Port Sets.
It allows me to ‘add’ a new port set however It does not give me the option to choose the protocol (UDP or TCP or both). How do I do that?

I am using Comodo CIS 5.0.163652.1142
With WIndows 7 Home Premium

THANKS IN ADVANCE

You don’t need to add something to the “Port Sets”.
Just give Steam access to the Internet

http://img258.imageshack.us/img258/754/cpfsteam.jpg