In most cases the firewall will either block the game or not.
Are you meaning anti-virus and preventing scanning of the game while you're playing?
Many Anti-Virus suites know its a game and do not scan its files while your playing. Or do not repeat scan known safe files, unless the are being changed.
If you're using a Anti-Virus that activly scans everything, all the time no matter what, simply exclude the games folder.