Well I don't use Norton Firewalls so I can't help you with the specifics but
For firewalls there's usually 2 things you need to look out for.
1. The actual setup of the ACL's, or the IP addresses and ports that you are allowing access to and from your computer.
2. The application control portion of the firewall product that allows access from your computer to the internet.
By default with most software based firewalls your allowed outbound (internet) access, whereas inbound is only allowed for specific ports and only if you initiated the connection.
In this case when it reports a connect then you are actually connecting to the server but the server is unable to report back the info to your computer.
FTP is ports 20 and 21.
I found this site with google:
http://www.by-users.co.uk/faqs/security/norton/
Also you may want to switch to ZoneAlarm. It's less bloated (although being ZoneAlarm it's kinda bloated itself) and much more user friendly.....and much more secure.