NLB and Windows Firewall

I've spent a good couple of months now on and off looking for an answer to a very simple question:

Can you use windows firewall on servers running NLB?

Well it seems that only one other person on the internet has asked this question, and they didn't get a very satisfactory answer. Certainly nothing I can really work with.

The problem *seems* to be something to do with gateways. With the firewall disabled, everything works fine. However with the firewall enabled, only the non-NLB ips respond.. the NLB ip address doesn't respond (blocked by the firewall) - however it *does* work from machines on the same vlan.

I think I'll be logging a call to Microsoft on this one...