Easy way:

(starting from V0.78)

Just run "add_firewall_exception.bat" in administrator mode

Manual way:

Add a firewall exception:

Settings -> window firawall

-> Advanced settings

Right click on Incoming rule -> new rule

Notice, that you should specify full path to ShinraMeter.exe, without macros like %USERPROFILE%, since it can not be evaluated from system account, which is running firewall.