I'm using linux, and my firewall script needs to specify how to use the "high-ports" when using active ftp. This is part of the configuration file from the SuSE-firewall2 scripts. You need to figure out how to make your firewall handle incoming high ports, for established ftp connections.

# 11.)
# How is access allowed to high (unpriviliged [above 1023]) ports?
# 
# You may either allow everyone from anyport access to your highports 
+("yes"),
# disallow anyone ("no"), anyone who comes from a defined port (portnu
+mber or
# known portname) [note that this is easy to circumvent!], or just you
+r
# defined nameservers ("DNS").
# Note that if you want to use normal (active) ftp, you have to set th
+e TCP
# option to ftp-data. If you use passive ftp, you don't need that.
# Note that you can't use rpc requests (e.g. rpcinfo, showmount) as ro
+ot
# from a firewall using this script (well, you can if you include rang
+e
# 600:1023 in FW_SERVICES_EXT_UDP ...).
#     
# Choice: "yes", "no", "DNS", portnumber or known portname, defaults t
+o "no"
#         if not set
#   
# Common: "ftp-data", better is "yes" to be sure that everything else 
+works :-(
FW_ALLOW_INCOMING_HIGHPORTS_TCP="ftp-data"
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##############################################

and the firewall control bash script uses the above with

#############################################

for j in $FW_ALLOW_INCOMING_HIGHPORTS_TCP; do
        case "$j" in
            no) ;;
            yes)
                for CHAIN in input_int input_dmz input_ext; do
                    $LAC $IPTABLES -A $CHAIN -j LOG ${LOG}-ACCEPT -p t
+cp --dport 1024:65535 --syn
                    $LAA $IPTABLES -A $CHAIN -j LOG ${LOG}-ACCEPT -p t
+cp --dport 1024:65535
                    $IPTABLES -A $CHAIN -j "$ACCEPT" -m state --state 
+NEW,ESTABLISHED,RELATED -p
                done
                DONE_ALL=yes
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