Well the strange thing is that it worked some days ago, but now it doesnt. I havent configured them since it worked.
Update: There is no firewall in AVG, just antivirus (didnt note first)
In the F-Secure firewall i have allowed the Warcraft 3.exe
The Windows Firewall is turned off, but anyhow i have allowed all the ports and .exe's for WC3.
I have opened this port:
Warcraft III 6112 - 6119 192.168.0.2