Winmx and morpheus both allow you to download behind firewalls. At least they say they do......you might have to configure it.......I have Windows XP that has the built in firewall and I download off of all of them.
I was thinking more of straight downloads, I tried Win/mx, configured it but I still couldnt get it to work. My company blocks the ports that they use. I stumbled across a site that had zipped full albums, but i forgot to book mark it