Firewall blocks Widgets

I have a weather Widget (the BOM) on my laptop that works perfectly when the laptop has a wireless connection to the modem/router.

But when the connection to the modem/router is wired (shared from my desktop computer) the Widget just stalls and will not connect to the server.

The only workaround is to turn off the Firewall on the desktop computer.

Why is the desktop Firewall stalling my Widget?