i know a long time ago i had the same problem when i tried to play i think all you need to do is Disable your antivirus / firewall for a little bit and re-install it and it should be good, and after it patch's and all i think you should be able to turn it all back on.
and yeah if it gives you an option do like Chuk said to add the PSO root folder as an exception to your firewall and stuff.