If I want to allow something through Windows Firewall the easiest way seems to be to open the Start Menu and type 'Allow a program through Windows Firewall'. Then press 'Change settings', and 'Allow another program...'. Then navigate to the "MTA Server.exe" file and then check both of the boxes. Finally, press 'OK'. Now if you launch the server Windows Firewall should allow it.
That's assuming you're using Windows 7. Use Google to figure it out for other operating systems.