I also had the same problem with the Windows firewall (while trying to cluster 126.96.36.199 build 27797 between two Windows 7 PCs connected to a wireless hub). All attempts to permission the java.exe or ICMP or specific ports failed. With the firewalls off they clustered fine.
Resolved the problem by replacing the standard firewall with Zone Alarm, setting the Trust Level of the java.exe to 'Super'.
Be interested to hear if anyone else has been able to resolve the Windows firewall issue?
Windows requires the Windows ECHO service to be installed when using Coherence via the default Windows Firewall, which is probably not the case by default in corporate environments.
To do so, go to Control Panel, Turn Windows features on or off, Install “Simple TCPIP services”. (Make sure the service is started by default).
This should solve the problem.