From Shaiya Wiki
For every firewall application that you have installed, try adding Shaiya to your program exception list. If that doesn't help, or you can't, Make sure that the files Updater.exe, Game.exe, and GameGuard.des are included. These files are all located in your Shaiya installed folder (default is "C:\Aeria Games\Shaiya\").
If anyone has a different program, feel free to add a tutorial on how to do it.
Windows personal firewall
Add the Shaiya "Updater.exe" program, if it hasn't been already.
Add the "Game.exe".
"GameGuard.des" cannot be selected since the have a different file extension. Type the filename.
Picture of "Game.exe", "GameGuard.des" added.
Norton Internet Security
Norton Internet Security Suite adds a two-way firewall, so your going to have to additionally configure that too.