Windows XP comes with a built in firewall. It only blocks inbound connections, however, and not outbound ones.
As Yuuguu creates an outbound connection to Yuuguu servers, the built-in firewall cannot prevent Yuuguu from working correctly, and needs no adjustment.
Various third party firewall products exist which increase security by blocking outbound connections. Please consult the supplier's instructions for how to create an exception for Yuuguu. Typically, this will involve granting permission for a named executable file to make outbound exceptions. The relevant filename for Yuuguu is yuuguu.exe.
Examples of third party firewall suppliers:
There are many other providers, both commercial and free, which are worth considering. A useful review site is found at www.firewallguide.com
See also: Technical info and settings | IM Network Problems