Firewall does not allow UDP packets for authorized app

I desperately need help..........

As the Windows XP Sp2 suggested I added my application to the Exceptions
list which means my application is now authorized to send and receive all the
UDP packets in the Windows firewall settings accessible from the control
panel.

After adding my application I am still unable to access the the UDP Packets.
The applications needs the receive the UDP packets and the firewall blocks
them. If I turn the firewall OFF I am able to receive them.

My understanding is that if I add the application to the Exception list the
applictaion should be able to receive the UDP packets.

I cannot add the port number to the exception list because the port is
created and closed by the application as per the need basis.

Does any body has any ideas why would this be so?