Opening Ports on Kaspersky 2009

I cant figure out how to open a stupid port for warcraft 3 (a game a play) so that i can host a game instead of looking for one. Ive used PortForwarding.com and did that too. Ive set my router to use the ports but Kaspersky blocks it. I have a PFPortChecker from Portforwarding.com and when i stop the firewall it says my ports 6112 (one port i need) is opened. and when i turn the firewall back on it says it cannot connect through port 6112. Ive been through so much to get my computer hosting on games because im a gamer =). Theres so many solutions from other website that have not worked so hopefully some1 from this website can fix this. P.S. i do not want to stop my firewall protection its too risky. One last thing that i would like to include. Ive also opened the ports on the Windows Firewall. (my O/S is Windows XP). Thanks for your help.