WoW and firewall message

[#1]

Hi all, hopefully someone can help me out here. When I log on to play, the download page tells me that I am 'behind a firewall'. I have opened all the necessary ports already and been playing for a couple of years so I am a trifle bemused.
Could this be the router firewall?  If so ,how do I access the settings and is it advisable to do so?
Though the game is playable after a few minutes, the first five or ten minutes tends to be 'choppy' and 'lagged out.' Would this firewall setting cause this?
I am still pretty much a 'noob' as far as computer settings are concerned.
Any advise would be much appreciated. 

[#2]

Foward these ports for wow
1119 -1120
3724
4000
6112 - 6114
6881
Once you've fowarded these your lag issues should vanish, as i had the same issue i know you said you already forwarded the ports but you may have missed one or two also disable any other firewalls, that are on the PC or make sure IF you do have a firewall on your PC the ports are open through that too.

[#3]

thanks for that antiFx, I ignored the firewall message , and found that my 'choppiness' was the microsoft essential security updating and scanning. So , I give it a few minutes and do my banking etc while waiting for the game to settle.
if it ain't broke don't fix it as my ol' man used to say