So your friend is able to get to the point of actually transferring data, but then it just doesn't transfer the data?
In that case, your firewall is fine -- it's made a connection, it's just dying after that. Possible issues:
1. One of you might have a network driver that is out of date, and which is dying under the transmission load. In that sort of case, if making sure the NIC drivers are up to date doesn't help, you can also use a different Max Network Message Transmission Type (I think that's the wording) in AI War. That can prevent the game from flooding your NIC too fast and causing a bugged NIC driver to fail delivery.
2. It's also possible that your MTU is too high for your ISP or router (well, probably not router if you connected to the modem already and that didn't fix it). I think the default MTU is 1400, but downing that to 1200 or 1000 to see what happens could solve it. If not, definitely go back to the default.
My guess would be on #1 if you're actually establishing the connection. Only if the connection isn't actually being made at all, and it never gets to the point of transferring any data at all, is it a firewall thing.
Hope that helps!