Hi I would say that it is your customer who has their firewall screwed down too tight, could be difficult telling them that though.
I have sold to hundreds since moving to Auctiva for image hosting without any comment and viewed many other sellers items who use Auctiva when I have been shopping without problems with my firewalls.
I wonder if they can view Auctiva's home page without the firewall stopping them, if so they need to allow Auctiva through.