I currently have a firewall (an instance of IPCop) running between the WDTV Live unit, and the Windows 7 box hosting the VM for the UMSP Proxy.
I have opened TCP Port 80 on the firewall, but apparently it is not sufficient. I tested it with YouJizz. Most videos worked prior to adding the proxy in the WEC. However, once I added the URL as the YOUJIZZ_PROXY in the WEC, the videos stopped worked. It never started playing or displayed an error. I looked at the WEC to see what the state of the device was, and it said "TRANSITIONING". I removed the reference to the proxy and the videos started working again.
I tried accessing the VM using "wget" from the WDTV Live unit, and I properly got the default Apache page, so TCP port 80 - it definitely open. Please let me know if I need to open any other TCP or UDP ports.
My URL for proxy was: "http://192.168.0.195/proxy.php" and the wget command I tested successfully was: "wget http://192.168.0.195/"