enter the nerd . . .
well not really a nerd
but trying to help lol
OK a firewall is meant to be a application that you run all the time while connected to the internet,
its primary purpose is to stop nasty ppl accessing and veiwing files on your computer, uploading nasty things to your computer like trojans and viruses and downloading your private files.
it will also stop phreakers and snoopers
these are applications that scan for any open ports or gateways to the internet
A decent firewall will make your computer and its IP address invisable to the net ( stealth mode ).
however all decent firewalls are configurable.
u decide which applications you wish to have access to the internet thru it, like napster
napster will quite happily let you transfer files thru your firewall and from someone else useing a firewall providing you have both configured them properly.
My GF and I both use a firewall and have no problems with transfers in any application, Napster, ICQ, yahoo Pager, Mplayer Pager etc FTP such as Cute.
the best firewall out there is Zonealarm and its Free
from www.zonelabs.com
Blackice defender is crap, its too weak and easily beaten
what i think is happening with your error on napster is simple, the guy you are trying to download from has configured his firewall to one way traffic, ie he can upload from users on napster but no one can download from him, so you get the firewall error message.
Hope this has been of help 
Wicked Nerdo opps i mean Neo 
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