Usually Firewalls do not block Virtual Private Networks but if you are facing trouble, all you need to do is to create relevant exception in your firewall settings. PureVPN supports following protocols:
PPTP VPN, which requires port 1723 opened on your firewall for both UDP/TCP. GRE 45
L2TP VPN, which requires port 1701 opened on the firewall for both UDP/TCP, and;
SSTP VPN, which requires port 443 opened on the firewall for both UDP/TCP.
OpenVPN UDP: 53
OpenVPN TCP: 80