Windows Firewall
If Photon should be accessible from remote machines (escpecially through the internet), make sure the Windows Firewall does not block connections.
To check settings, open the "Windows Firewall" in the Windows Control Panel. Click "Allow a program through Windows Firewall" and verify PhotonSocketServer is listed and checked.
Cloud Security Settings
If Photon should run within a Cloud Service, you have to make sure the UDP and TCP ports are available.
In Amazon EC2, the Security Group should at least open these ports: