Perhaps it's a conflict between Windows Firewall and your Anti-Virus program firewall..
Disengage one of the two..
I don't know much about Vista..but here are some sites I found about Group Policy Vista..
http://searchwindowsserver.techtarget.com/generic/0,295582,sid68_gci1286201,00.html
http://technet.microsoft.com/en-us/windowsserver/bb310732.aspx