When playing a Premium Module for the first time McAfee Personal Firewall Plus will interrupt the authentication process to request that you either grant or deny access to the Internet for nwnmain.exe.
To authenticate the module successfully you will need to Grant Access. This will set the Internet application rule for this program and after this initial configuration you won't be prompted again for this program unless it is modified by an update to the game.
McAfee Personal Firewall Plus - Changing existing Internet application permissions (Step 1)
From the main McAfee Personal Firewall Plus Summary tab, click the Internet Applications tab to begin configuring your Internet application access rules.
McAfee Personal Firewall Plus - Changing existing Internet application permissions (Step 2)
This screen shows us what Internet capable applications installed on your computer are allowed through your firewall.
Neverwinter Nights needs Internet access to authenticate premium Neverwinter Nights modules purchased from the BioWare Store and to download game updates via the "NWN Update Program" ("nwupdate.exe").
If the required Neverwinter Nights executables ("nwupdate.exe" and "nwmain.exe") are not listed under the Internet Applications column they will need to be added. Click on the New Allowed Application button to begin.
McAfee Personal Firewall Plus - New Allowed Application (Step 2)
When the two required executables have been correctly added, their Permissions should be displayed under the Internet Applications tab as "Allow Full Access."