Jens,
I assume you really mean to ask if it works through proxy. The function uses "microsoft.xmlhttp" and so works with your IE browser settings. It is the same methodology that bbchecker uses.

Otherwise, whether it works through a firewall really depends on the firewall rules. That can vary between deny all and any-any.
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Give a man a fish and he will be back for more. Slap him with a fish and he will go away forever.