To create the firewall rule:
Open F-Secure Internet Security.
Click on ‘Advanced…’ to open the advanced dialog.
On the left menu, select ‘Internet Shield’, and then ‘Firewall’.
On the firewall pane, select the ‘Rules’ tab, and click ‘Add’. The Firewall Rule Wizard appears.
In ‘Rule name’, type a name such as VNC.
For ‘Rule Type’, select ‘Allow’, and click ‘Next’.
Tick the box ‘Any IP Address’, and click 'Next'.
Select services for this rule by scrolling down the list and setting the following:
VNCTCP, tick the box, and then double-click between the computer and globe icon until it is a double arrow.
VNCUDP, tick the box, and then double-click between the computer and globe icon until it is a double arrow.
Click 'Next'.
For ‘Alert type’, select 'No alert', and click 'Next'.
Click 'Finish' to close the Firewall Rule Wizard.

via http://support.f-secure.com/enu/home/supportissue/fsis2006/firewall_q12.shtml