The first time you run the server, Windows gives you a dialog about letting the program access the network. There are two options -- local and internet. Only one of them is checked by default. You need to check both, or Windows firewall won't let connections through.
Running it a second time won't show the same dialog anymore, so you have to manually add TNServer.exe (or your compiled game) to the list of allowed exceptions. Consult your OS.
