I don't know if this is supported by Windows Installer - maybe it's supported in version 3.1? Certainly not in 2.0 because this was out before the XP SP2 firewall, which supports per-application exceptions, became available.
You could always script a custom action to add a firewall rule. I believe the firewall APIs are public...
http://msdn.microsoft.com/security/prod ... evimp.aspx
...you could script an application exception into the firewall. This would probably throw up a dialog prompting the user to confirm the request, but then it would happen during installation and not run-time.