IGNORE THIS ERROR...
It's NOT a "Firewall detected" error, but instead an "It appears you MAY be behind a firewall" warning.
You can put your PC bare-naked on the internet with no firewall (soft or hard) tier-1 right on the backbone and the Blizzard Downloader will STILL say "It appears you may be behind a firewall.." right now.
The reason being- the latest BackgroundDownloader patch added some reduced bandwidth coding to it's torrent system but failed to change the rest of the program to be aware of it.
As the next patch is going to be HUGE, they have broken this HUGE patch it into multiple parts and will be releasing it a piece at a time over a few weeks (starting just before Thanksgiving when they also patched the downloader for this).
It's running in such a way to only use spare bandwidth and at a very low priority so it's tripping over the "hmm.. must be a firewall" code when it's operating NORMALLY. It's designed to go very slow and over a long time.
I recommend making a shortcut to the BackgroundDownloader.exe and putting it on your desktop or putting it in your Startup group to let it run 24/7 for the next few weeks.. or at least until you get the first two parts fully (part1 is like 34mb, part 2 > 400mb). Word is there are a couple more pieces Blizzard will be placing into the mix the next week or so.. then will come the big patch day.