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To setup the Windows XP SP2 firewall to allow connection of Remote Desktop, SSH connection to cygwin or openssh, or direct connection to the vnc server here is what you must do:
To open Windows Firewall
1. Click Start and then click Control Panel.
1. Make sure that the "Don't allow exceptions" is NOT checked and then click on the Exceptions tab
2a. On the exceptions screen if you want to allow remote desktop click on the remote desktop checkbox and press ok.
2b. If you are going to be connecting through the secure ssh connection to remote desktop or the vnc server then you want to click on the "Add Port" button and put in port 22.
2c. If you are going to be connecting directly to the vnc server without the ssh tunneling then you need to select "Add Port" button and put in port 5900.