The Wurm client connects to port 80 at start-up to download client packs, so make sure outgoing TCP port 80 is open unless you have a proxy server configured.
While running, Wurm stays in constant communication with the servers on port 3724 (Freedom/Wild) and 3723 (Epic) (source ports are random).
==Port Summary==
TCP outbound port 80
TCP outbound port 3724 (Freedom/Wild)
TCP outbound port 3723 (Epic)