Apple software usually operates under the mantra of "it just works", and iTunes is no exception. For most people, whether on Mac or Windows, the sharing of tunes between computers is just a matter of turning the option on under their iTunes preferences. But smart users have firewalls turned on, and firewalls tend to break things like iTunes song sharing.
Savvy Windows XP users will have enabled the built-in firewall for their network ports. This works well to keep out the bad guys, but it also stops incoming traffic you might actually prefer to allow.
In order to allow iTunes sharing with the firewall enabled, you need to "punch a hole", so to speak. Well, the truth is you actually need to punch two holes. You need to allow the following two ports to get through if you want to access other peoples' iTunes shared files:
Port 3689 TCP
Port 5353 UDP
Once you allow these ports through, you should be able to both share your files and listen to others' shared files.
Service Pack 2 note: If you've installed XP SP2, you'll also need to add iTunes to the "Exceptions" list in Windows firewall. The simplest way to do this is to just run iTunes. The firewall will launch a pop-up box asking you whether iTunes should be blocked or allowed - be sure to allow it!.
Mac OS X users have it slightly simpler. They only need to allow one port through, for reasons that are unclear to me as yet (I'm guessing the Mac firewall is at least partially stateful, which would explain this). Open the following port to allow iTunes sharing:
Port 3689 TCP
This information is based in large part on the information available from the Apple support document iTunes for Windows: Music Sharing With Windows Internet Connection Firewall.
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Document last modified on 09/05/2004