I just setup Filezilla ftp server here on Win XP and it worked fine with any ftp client I threw at it. However the exact same (I think!) config on a remote site just got me a login, but no data connection. I could even make directories, but no LIST. Filezilla client did the same.
I then tried leap FTP client to connect to the remote Filezilla server and it works fine. ftp://ftp2.leapware.com/pub/lftp276.exe
I have no idea why Leap works and the others fail.
:-(
Moral of the story: its probably your ftp server config thats the problem, not the firewall.