From the Knowledge Base article: http://support.microsoft.com/default.aspx?scid=kb;EN-US;914277

Create exceptions in Windows Firewall
These steps apply to the version of Windows Firewall that is included in Windows XP Service Pack 2 (SP2) and in Windows Server 2003. If you are using a different firewall system, see your firewall documentation for more information.

If you are running a firewall on the computer that is running SQL Server 2005, external connections to SQL Server 2005 will be blocked unless SQL Server 2005 and the SQL Server Browser service can communicate through the firewall. You must create an exception for each instance of SQL Server 2005 that you want to accept remote connections and an exception for the SQL Server Browser service.

Obtain the SQL Server Instance ID
SQL Server 2005 uses an instance ID as part of the path when you install its program files. To create an exception for each instance of SQL Server, you must identify the correct instance ID. To obtain an instance ID, follow these steps:
1. Click Start, point to Programs, point to Microsoft SQL Server 2005, point to Configuration Tools, and then click SQL Server Configuration Manager.
2. In SQL Server Configuration Manager, click the SQL Server Browser service in the right pane, right-click the instance name in the main window, and then click Properties.
3. On the SQL Server Browser Properties page, click the Advanced tab, locate the instance ID in the property list, and then click OK.

To open Windows Firewall, click Start, click Run, type firewall.cpl, and then click OK.

Create an exception for SQL Server 2005 in Windows Firewall
To create an exception for SQL Server 2005 in Windows Firewall, follow these steps:
1. In Windows Firewall, click the Exceptions tab, and then click Add Program.
2. In the Add a Program window, click Browse.
3. Click the C:\Program Files\Microsoft SQL Server\MSSQL.1\MSSQL\Binn\sqlservr.exe executable program, click Open, and then click OK.
4. Repeat steps 1 through 3 for each instance of SQL Server 2005 that needs an exception.

Create an exception for the SQL Server Browser service in Windows Firewall
To create an exception for the SQL Server Browser service in Windows Firewall, follow these steps:
1. In Windows Firewall, click the Exceptions tab, and then click Add Program.
2. In the Add a Program window, click Browse.
3. Click the C:\Program Files\Microsoft SQL Server\90\Shared\sqlbrowser.exe executable program, click Open, and then click OK.

Note: The paths may be different depending on where SQL Server 2005 is installed. MSSQL.1 is a placeholder for the instance ID that you obtained in step 3 of the initial procedure.