Windows Firewall Configuration for ConnextDDS

Connext DDS uses the ports specified in the DDS specification. Assuming you're using the included UDP transport, we have a excell spreadsheet that calculates the ports used (based on domain name and participant ID) here: https://community.rti.com/filedepot?cid=11&fid=14

These ports can be changed to use non-standard port numbers, but it is not recommended and would break interoperability unless you change the ports on all participants that need to communicate. 

You likely only have to open ports on one side, but then discovery will likely take longer (since you'll have to wait for another DP to contact the non-firewalled DP first to communicate). 
The TCP transport can utilize a single port for discovery and payload traffic I believe (but you lose multicast and will likely increase latency, especially for best-effort communication flows)
One last thing we sometimes see is customers utilizing domain tags and condensing all participants into using a single domain to limit UDP port usage. Domain tags can be utilized as "psudo domains" in a way to prevent communication between different participants that have different tags. However they are not as flexible as partitions. 

In addition to the info by Ross above, DDS will usually work through the Windows firewall if the network connection type is "private" or "domain".  If the network connection is "public", then the firewall restrictions prevent DDS from discovering DDS apps outside the host.  If you can change your network connection type to "private" or "domain" (requires you to have a domain to login to), DDS may work without having to reconfigure your firewall to open up ports used by DDS.

Thanks for posting the link!