no you dont, when you have the persons ip in the trusted zone then you put your internet fire wall on high, and your trusted on mid
One of the first things you are told to do when setting up an ftp connection is to turn off your firewall. Otherwise you have real problems. Eg: It won't connect.
if your xbox uses the IP 192.168.0.100 then go into trusted sites and set it to let that ONE IP through the firewall as a trusted IP. No need letting everything through on account of one IP.