I normally ignore these posts, since I deal with computer security and have no desire to make another security administrator's life harder. However, let me give you a bit of information here, so you'll understand what you are up against.
Depending on the firewall, you could have a setup where only traffic dedicated for certain ports on the outside systems will be allowed through. Or, you could have a setup in which the firewall actually inspects some of the traffic, verifies that it looks like a reasonable type of traffic for the port it is flowing on, and passes it through (not really practical, given that everything can be tunnelled over every other traffic type, but some firewalls attempt to do this). I'll assume you are just dealing with a firewall that blocks or allows based on port.
Now, suppose you want to play Tribes, which I believe uses port 27001 and some small range above that. Your firewall only allows port 80 traffic from internal machines, port 25 traffic from your mail server, port 53 traffic from the internal DNS, and other similar, specific restrictions. You want to connect to a Tribes server on port 27001, but your firewall doesn't have that open. At this point, your choices are few. You can hack your way into the firewall and change the ruleset (requires some knowledge of the firewall and ways to attack it). Or, you could set up an external proxy system on an external machine that you control, set it to accept traffic on a port allowed through your firewall (say, port 80) and translate it to the correct port for the Tribes server and pass it along, and then take the return traffic, slap it back into a connection back to you on whatever port you initiated from, and pass it back to you. Or, you could try to get the server administrator of the game machine you want to use to set up a VPN server that will allow you to connect, set up a VPN client on your machine to connect to that VPN server, and then try to convince your firewall administrator to allow VPN traffic through the firewall. Or, you could get the game server administrator to change his server to accept connections on a port that you are allowed to connect out through (but given that others won't likely be able to connect then since they won't expect the server on that port, you're not likely to make this happen).
You can probably come up with similar ways at this point, but they'll all be similar to the above. So, which do you want to do? That's all there is to it.
RagManX