I don't think it's the firewall issue. It is their permission settings. I emailed them and followed their instructions but still no cigar.
Reply from Godaddy.
Permissions on your site can be edited from the Hosting Control Center either through IIS Settings or File Manager. You can control your IIS Permissions for you site by using the following instructions:
1. Log in to your Account Manager.
2. In the My Products section, select Hosting Account List.
3. Next to the hosting account you want to modify, click Manage Account.
4. In the Content section of the Hosting Control Center, click the IIS Settings icon.
5. Click the directory name to update settings on an existing directory. To set up a new directory, click Create Directory. To set up a new subdirectory, click Create Subdirectory next to the directory under which you want to create the subdirectory.
6. Type a directory name, select the settings you want to apply to the directory, and click Continue. To set a directory as an application root in IIS, make sure the Anonymous Access and Set Application Root options are selected.
Anonymous Access
This enables an anonymous user to view files in a directory through a Web browser using HTTP.
Directory Browsing
This enables an anonymous user to view all files in the directory (in directory listing format) by pointing a Web browser to the directory path. You must also select the "Anonymous Access" setting for "Directory Browsing" to work properly.
Set Application Root
This enables you to set the directory or subdirectory as an IIS application root within your site. An application root is the root directory for an application. All directories and files contained within the application root are considered part of the application.
7. Verify the settings for this directory. If the settings listed are correct, click Continue.
NOTE TO FRONTPAGE USERS: Microsoft FrontPage manages all directory and subdirectory permissions on your Web site. If you customized directories on your Web site, or you are using another tool to build and or manage your Web site, switching to FrontPage may cause some difficulties. It overwrites all of your directory permissions and may make your site unusable.
To modify Windows permissions using the File Manager:
1. Log in to your Account Manager.
2. In the My Products section, select Hosting Account List.
3. Next to the hosting account you want to modify, click Manage Account.
4. In the Content section, click File Manager.
5. Select the directory or directories for which you'd like to set permissions.
6. Click the Permissions icon.
7. Select the permissions for the selected files.
Read
Selecting "Read" enables anonymous users to view files in the directory through a Web browser.
Deselecting "Read" presents users of your Web site that reference files in the directory with a security challenge. To view the files, users must authenticate into the hosting account by entering the FTP user name and password.
NOTE: You must select the "Anonymous Access" setting in the IIS Settings for a page in the directory to be viewable through a Web browser.
Write
Selecting "Write" enables anonymous users to use your site's applications to modify the contents of a directory. Select "Write" only if your site's applications create files or write to files in the directory.
Inherit
Selecting "Inherit" removes the explicit "Read" and "Write" permissions on a directory, so it inherits its parent directory's permissions. When a directory inherits permissions from its parent, the directory's permissions are dynamically updated when the parent's permissions are updated. Deselecting "Inherit" applies the explicit "Read" and "Write" permissions to the directory. When a directory does not inherit permissions from its parent, the directory's permissions are unaffected by updates to the parent's permissions.
Reset all children to inherit
Selecting "Reset all children to inherit" causes the "Inherit" setting to be cascaded to all of the subdirectories below the directory. This condition has the affect of removing any explicit permissions that may have been set.
8. Click OK.