Usually firewall's don't block VPN service and it works without making any changes to your existing setup. Just in case if you encounter problem (as known with a few e.g AVAST Firewall) following information would help you get around. There are primarily 3 protocols that we support for VPN:
1) PPTP VPN : Requires port 1723 opened on your firewall for both UDP/TCP.
2) L2TP VPN : Requires port 1701 opened on your firewall for both UDP/TCP
3) SSTP VPN : Requires port 443 opened on your firewall for both UDP/TCP.
All you need to do is to create relevant exception in your firewall settings. This is pretty straight forward but you can contact our support if you have no clue how to achieve this.