More information on the access issue:

The request for WeatherBug data goes out and comes back on Port 80, this is the regular browser data port that you use to browse the web with your browser.

When you enter a zip code the WeatherBug server finds the nearest actual weather station location and tries to get data from it if that station is not working correctly you wont get data from it and your code will look broken (try a different zip)

And: Yes the Windows Firewall seems to be the most forgiving when it comes to moving this data from the WeatherBug servers to you PC 

I updated Phroggers WeatherVane program I think you will see that if you enter 44442 as a zip it will display cool data if the wind is gusting

http://phrogram.com/forums/3519/ShowThread.aspx#3519

Thanks have fun