Since it's your firewall software, there's a number of options open. I don't have experience with McAfee, but since you are probably paying for subscriptions, there's likely software vendor support available. Before this you could consider the following...
Most firewalls have different "modes" of blocking access, and tend to default to "automatic" or something similar, which blocks things without informing you. This is useful in most cases, but has the downfall of not telling you it is blocking something you need it not to. Can you switch to "interactive" or similar? This will tell you each time it blocks something and give you an option to block or allow. Once you are in that mode and access your media server again, it should prompt you. If you select allow and specify that it allow permanently in this case (you may get several prompts associated with your media server) you should be good to go. Once everything is working normally, you can always switch back.
If the above doesn't begin to prompt you, it's likely the system has already created a "deny" rule for this server which you will need to delete before it will ask you again. In this case, remain in interactive mode with your media server inactive and find the setting in your advanced options to look at the firewall rules list. Delete any that have anything to do with Windows Media Player or whichever media server software you are using on your computer (don't worry too much about this, it should not block these apps anyway) then restart your media server software. You should get the allow/deny prompts now.
What FurryNutz says is fair comment - most home computers do not need software firewalls if they are behind a router usually, but since you have one, I would suggest keeping it running if you can. Who knows down the road if firewall protection will become more important. Remember also that WinXP SP2 and up have their own firewalls. If you disable McAfee's, you can enable the inbuilt one and have better luck.