No, provided Firewall Support is set to 'None' you should be fine as far as the firewall settings or concerned.
That error (I'm assuming your getting a file) is usually caused by the sender. When someone sends you a file you try to connect to their computer, so if they have port restrictions in place you won't be able to, and therefore, the DCC won't work. There are some issues which may be caused by the person who is receiving. The most common (and likely) are covered on
this page.
Try receiving from several different people and see if it is your end that's the issue. If you can get from other people but not one person then it's most likely their fault, and usually a firewall or router are at the root of the problem. If you're having issues DCC sending then check out
this sticky thread - also a good place to refer your friend
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Regards,