Need Help!!!

[drone]

The firewall shouldn't affect performance (unless your machine is already stressed), but you will probably need to open up some ports. Haven't played WoW, but here's some info from the community site:
http://www.blizzard.com/support/wow/?id=aww0790p

XP defaulted the firewall off, probably to avoid the slew of tech-support calls by people complaining about network connections. Now they have to deal with the calls from compromised users. I run the firewall, and also have a D-Link firewall router between me an the 'Net. Call me paranoid, but there are people after me!

Edit - One other thing, WindowsUpdate is famous for this. If you haven't updated in a while, sometimes an update will unlock another one (I guess they have problems rolling the patches together). So after you get an update, go back to the site and check again.