I've heard that you can, during installation, add an exception for your app to give permission for it to access the internet through the firewall.
Anyone know how to do this?
The alternative in many cases is to suggest that users disable the firewall entirely or ok the prompt Windows raises when your server ports begin to listen. Both of these are bad options: one risks leaving the machine open to anything and the other trains them to approve security prompts uncritically.
You could easily have your applications add and remove themselves as firewall exceptions. They could even disable/enable the firewall, a really bad idea. But it's usually a better idea to add and remove exceptions as part of install/uninstall operations.
One place where Microsoft describes the process is Windows Firewall for Game Developers.
If your security is so poor you rely on a software firewall alone for protection you can always set "no exceptions" mode on the firewall. Of course this reduces your users to passive consumers of Internet services, à la broadcast television reception.