How are you connected to Internet? Phone Line, DSL or CABLE direct connection or DSL or CABLE through router?

If through routher, you will have to port forward.

If not, opening ports in Windows Firewall is automatic when you install Azureus(I am using Azureus). After installation, it asks whether you want to open ports in Windows Firewall and you click YES.

If you click NO, then you will have to do the above step and I am assuming(as I clicked YES) it must be similar.