There is no firewall setting you need to use. WOL will only work if there’s another PC on the same lan as the machine you want to wake up that’s accessible through Simplehelp. The WOL command gets a running machine to send a WOL magic packet on the LAN, using the Data Link Layer. The Magic packet includes the destination machine’s MAC address.
This is what wikipedia says:
The magic packet is a broadcast frame containing anywhere within its payload 6 bytes of all 255 (FF FF FF FF FF FF in hexadecimal), followed by sixteen repetitions of the target computer’s 48-bit MAC address, for a total of 102 bytes.
Since the magic packet is only scanned for the string above, and not actually parsed by a full protocol stack, it could be sent as any network- and transport-layer protocol, although it is typically sent as a UDP datagram to port 0, 7 or 9, or directly over Ethernet as EtherType 0x0842