If you want to add your application to the white list of the Windows firewall (Windows XP SP2, Vista, etc.), you can use the Net.exe application which is shipped with Windows:

This goes all into one line in Inno Setup:

    Filename: "{sys}\netsh.exe"; Parameters: "firewall add allowedprogram ""{app}\app.exe"" ""My App desc"" ENABLE ALL";     StatusMsg: "My status msg..."; Flags: runhidden; MinVersion: 0,5.01.2600sp2; 

MinVersion will make sure that it only runs on Windows XP with SP2 or higher.

Ideally you should let the user decide whether he/she wants to add your application to the white list of the firewall with a [Tasks} entry:

   [Tasks]    ; Firewall starting from Windows XP SP2 (5.01.2600sp2)    Name: Firewall; Description: "Add an exception to the Windows Firewall"; GroupDescription: "Other tasks:"; MinVersion: 0,5.01.2600sp2;     ...    ...    ...    [Run]    Filename: "{sys}\netsh.exe"; .........; Tasks: Firewall; 

Finally don't forget to remove your program's firewall entry when you uninstall it with something like

   [UninstallRun]    Filename: {sys}\netsh.exe; Parameters: "firewall delete allowedprogram program=""{app}\app.exe"""; Flags: runhidden;     MinVersion: 0,5.01.2600sp2; Tasks: Firewall;