The settings mentioned here only affect users who use a firewall from a third-party provider instead of the Windows-own firewall.
If you use your own firewall software, you have to use the usual Settlers 3 ports (see http://ports.siedler3.net ). As well as additionally disable the UDP port 1900 for outgoing data from the file s3_alobby.exe. How to set this up in your own firewall software, you should learn in the manual of the firewall software or the support of the firewall software. The aLobby can not provide support for this.