I fly online all the time, at the Zone for CFS2, and sometimes there too for FS9, although I fly most of the time in FS9 at a seperate server.
I use a router and firewall and if set up correctly, there are no problems.
Most of todays firewalls will have some kind of setup where you can choose what traffic to allow and not to allow. Some call it the "Learner" mode.
This option makes it very simple....when you have this option selected in your firewall and you go fly online, it will ask you if you want to allow this traffic. You click yes and the firewall remembers the port it is using and you don't have to set it again.
Windows XP SP2 firewall has this option and makes it very easy to use. Although I did have a time setting up ports in my router as it was all new to me when I got broadband.
Now I happily fly online all the time.
Many flying online state that if you are behind a router, you can disable the firewall to fly because your router is acting like a very good firewall too. But then again, your router has to be set up correctly.
There are plenty of tutorials on line for settings up routers AND firewalls for flying on line. Nibbles and Bits is a very good one.
http://www.nibblesnbits.tk/