I found the problem myself, when I was checking Ripbox's idea (Which didn't work, sorry to say) I noticed that it wasn't creating all the correct files when installing. The things it was missing was all the data inside "My Battle for Middle-Earth files" (C - Users - Your name - Application Data). The folder was there but not the stuff inside.
When I put it all in (Taken from a friend over MSN) it worked perfectly, I'm not getting firewall issues or errors.
Now I've checked it with Battle for Middle-Earth 2 and Rise of the Witch-King (BfME2 expansion pack) and its also worked.
Well, if you guys didn't know this then I hope you can help others having the same issues. I'll check these forums for any BfME related issues too if you'd like.
I feel such a fool for not noticing that too
Jack AKA Taterz.