Is it someone else telling you that the firewall is blocking access or is it the connecting software telling you?
When you're not connected to the internet, it doesn't matter if the firewall is on or off.
Connecting to a wireless router is best done initially using an ethernet cable, not the wireless. There is usually one supplied with the router, but a shortish one is not expensive. The reasons are first, you won't have anyone else in the neighbourhood 'listening in or seeing' your computer when you're connecting for the first time. Initially you won't have encryption enabled so a wireless connection could be 'looked at'. Secondly, there is less chance that the setup will be interrupted due to a loss of wireless connection. It is very likely that your encyption key has not been properly applied, which is causing the inability to connect to the internet.
So, 1. Connect the laptop directly to the computer.
I assume you've already installed the software for the laptop adapter. It is during this phase that the instructions tell you to physically install the adapter, be it a USB or a PCMCIA card.
2. Ensure the software is properly installed for the router.
3. Have the encryption key to hand to put in when asked for.
4. When the computer is connected to the internet, turn on the firewall. Turn the computer off and disconnect the ethernet cable. You should then be able to switch it back on and connect wirelessly to the internet. This is a general rule of thumb and some makes take a slightly different approach, so I hope it helps.