Recently there have been a number of questions about how to have SMS working with firewalls. These KBs and documents will help you set up your firewall correctly.
Scenarios and Procedures for Microsoft Systems Management Server 2003: Security
Service overview and network port requirements for the Windows Server system
Ports that Systems Management Server 2003 uses to communicate through a firewall or through a proxy server
How To Restrict TCP/IP Ports on Windows 2000 and Windows XP