As with any software firewall, you will need to configure or confirm two settings.
1) Inbound communication from other computers running Pure Networks software is permitted to get past the firewall to Pure Networks software.
2) Pure Networks software is permitted to make outbound communications.
1a. On the left, in the "Personal Network & Firewall Controls", press the "Settings..." button.
1b. Select "Home network" and press the "Activate this profile" button. If a wireless computer is left on "Direct Internet Connection" Network Magic will sometimes incorrectly report the Intenet is disconnected. For some reason, this doesn't happen to wired computers.

2a. While "Home network" is still selected, press "Edit".

2b. Click on the "Program Control" tab and choose "Add".

2c. Create the rule with the following properties:
Name: Pure Networks Platform Service
Specificed Program: C:\Program Files\Common Files\Pure Networks Shared\Platform\nmsrvc.exe
Settings: Simple Mode
Settings: Allow

3. Click "OK" three times and close PC-cillin