Would be helpful to tell us what firewall it is then. Does it have a detect full screen mode, and are you running Sins in full screen while trying to access ICO? If this is the case, then maybe you need to change the firewall's settings to allow connections in full screen mode, or run the game in windowed mode by pressing Control+Shift+Tab while it's running or selecting windowed while at the video options menu.
Most leave an icon in the taskbar that you can click on to open them up. Once it's user panel is up and running there should be a way to get to an application blocking setting. For example, PC Tools Firewall Plus simply has it as a button on the left side of the main window, Click on that, then on the add button at the bottom and it's as simple as adding the Sins exe to the list and allowing it access.
Windows Firewall can be done by going to your control panel ans under the security heading selecting the option of allowing a program through the firewall. It will bring up the user account control dialog to verify that you at least are doing the changes and not some virus. In the new window that comes up, all you'd have to do is click the add program button and go looking for the Sins exe.
In Norton it's something like clicking on settings, then on firewall... Looking for a program rules tab and searching out Sins and allowing it.
McAfee is something like selecting internet and network, followed by clicking configure on the new window. Then under firewall protection, click on advanced. Select program permissions followed by selecting add program or something to that effect. All you'd have to do is search out sins and allow it.
There are lots of firewalls out there, if I didn't cover it, then you have to let us know which one it is.
