Usually no additional firewall configuration is needed because Dropbox uses the same ports a web browser uses. If you can access the Internet using your web browser, the Dropbox desktop application should be able to use the same internet connection to sync your files.
However, if you're having difficulty syncing after installing the application, you may need to adjust your firewall settings to permit the Dropbox application access to the Internet. In most cases, this simply means adding Dropbox to a list of applications with Internet access or what is sometimes called "exceptions."
Each brand of firewall software works differently depending on the manufacturer. Please refer to your firewall software documentation for specific directions. In general, you may need to do the following:
Dropbox also supports most proxies. If you use a proxy to access the internet, you can specify your proxy settings within Dropbox desktop application preferences.