Hey I was trying to use TCP/IP filtering in my windows 2000 pro also but it didn't have any affect. I blocked ports 80 and a few others that are normally used just to see if it works and I was still able to browse the internet with my Internet Explorer 6 and I ran a netstat scan to see the active connections, a bunch of IPs were there with port 80 established. I turned of the filtering since it wasn't doing any difference for me.
You guys are very close to what I'm looking for though. I'm trying to find out how to manually open/close specific ports. In particular TCP 6699 and UDP 6257 for WinMX connections. I am using an Efficient Networks SpeedStream 5200 DSL Modem (not in bridge mode) and when I set my IP automatically I cannot make any TCP or UDP connections with WinMX but if I set my IP manually to a range within the DSL modem I can make a TCP connection with WinMX but no UDP connections. What should I do?