All applications can talk through a firewall as the firewall is just a configurable piece of hardware or software that allows or disallows network communication based on a set of rules. The firewall is transparent to the application and the underlying socket routines used just as the many routers and switches in between the two machines are transparent. This is the nature of IP packet routing.

However, if what you are talking about is attempting to get your application's communication "through" the firewall you may want to research such things as SOCKS. Many applications can use these "proxy servers" to tunnel through a firewall by authenticating their communication through it. If this is what you want then google SOCKS and I'm sure you'll find out a lot more than can be explained here.