You need to have a working software firewall enabled, for sure.
Here are general guidelines to deal with the situation(From the
aximsite wifi guide by Ikehiker):
"Having a firewall running on your partner PC can interfere with a wireless partnership connection. The procedures will differ for the various firewall programs but you can generally allow ActiveSync or WCESCOMM.exe unrestricted access. Alternatively, giving your PPC's IP unrestricted access will work with some firewall programs."
I've never used PC-cillin, so I can't get specific on the instructions. Hope this helps. :)