First of all you should never disable your protection for anything except perhaps when installing something major such as a service pack, but to say that it should be disabled so that you can make phone calls is ridiculous and is asking for trouble.
Well I ascertained the following from their website. But I'm sure their forums have more answers.
Q. Does Magicjack work behind a firewall?
A. Yes it does. In some rare cases, you might have to disable your firewall during the registration process (less than 2 minutes) and enable it as soon as the registration is complete.
That said make sure, if Magicjack has associated software, that it is allowed in the firewall.... (I use Voipstunt but the principle is the same)
Double-click the taskbar icon to open Security Center
Click Advanced Settings (bottom left)
Click Configure (left)
Click Internet & Network (top left)
Click Advanced (right)
Click Program Permissions (left)
In the right-hand area make sure it has full access.
(See picture attached - click to enlarge).