I really doubt it's a firewall (I haven't used one yet that interfere's with hardware). More than likely, your user account doesn't have the right 'user rights' assigned to it. (If you are an administator it should by default allow you to access cd's)
If you have XP pro, try Group Policy:
goto run, type "gpedit.msc" and press enter.
Navigate in left column to: Comp Config>Win Settings>Sec. Settings>Local Policies>Sec. Options
In the list of policies, make sure "Devices: Restrict CD-ROM access to..." is disabled.