Think through the request process and see what the error messages say. This will lead to the issue most of the time.
Check the log files of the firewall itself. These will show what messages are flowing through it. You will probably have to filter these because a production firewall will have more than just your WebSpeed requests going through it.
Always use a new Web browser window for each test request. Most browsers attempt to speed up requests by caching information. A subsequent test in the same browser window can return cached data instead of the proper results for the new settings. This can also be achieved by using the "Reload" function of the browser. See your browser documentation for information on setting your browser to not use cached copies of pages.
