Windows firewall - connecting to a SQL instance
It seems that the Windows Firewall, by default, will stop you from being able to connect to a SQL instance - even when all outbound connections are allowed.
The reason for this is because when connecting to an instance the SQL browser service is used. This operates over UDP (which is connectionless). A response is sent back from the browser service to the client machine, which is in-turned blocked by the client firewall.
To work around this you need to create a new rule that will allow UDP packets from port 1434. As with all rules, you should lock down the source to the smallest computer set you can (e.g. a single IP address) to avoid anything else from connecting.