If you've got a cable modem and a router (which presumably includes a firewall), why are you installing another firewall on your PC?
Is it that you don't trust the other PCs on your network?
Anyway, you just need to punch some holes in the firewall on your PC. How you do this depends on your firewall software. Just open the particular ports required by the Receiver.
I don't remember which they are off the top of my head, unfortunately.
Otherwise, just because the Receiver uses DHCP doesn't mean that its IP address won't be stable. It depends on your router. My WRT54G was crap at handing out stable IP addresses. My DSL604+ was good at it.