I did what you suggested and there isn't a firewall popup present. I tried several times to be sure and it doesn't look like Vista is asking for permission.
Any other suggestions? 
Edit: I noticed something else while playing with it. I had my friend create a LAN game and whenever I try and join it, the game says I have disconnected from the server. Not sure if they will affect any advice given, but I thought it was worth mentioning.