Windows Firewall blocking WebClient

[Nate Hekman]

I've been trying to use WebClient to download a file from an ftp server, but
kept getting this exception during the call to DownloadData:

An existing connection was forcibly closed by the remote host.

After much hair-pulling I finally figured out that if I disable Windows
Firewall the error goes away. I imagine I should be able to add something
to my Windows Firewall Exceptions list. FTP is already in the exceptions
list (and works fine on the command line). Should I add IIS? How do I do
that?
Nate Hekman