I have not had to disable my firewall on any of my computers in order to enter a sweep. However this doesn't answer your question. I don't know the details of your OS or security program. It is likely that you have your security settings to high and can lower it a notch but not enough to disable your security.
Last... some cookies can be picked up by security and they are called "tracking cookies." These are not dangerous however they will show up on your security scans.
Mr. Sweepy
As President of Sweepstakes Today, one of my biggest rewards is reading about your wins and the positive impact it can have on the members.