Hmmm maybe try to create a rule for Outlook Express in the Application Firewall section allowing TCP inbound and outbound for remote port 119 (NNTP port). IF you know the IP address of the Newsreader server, put that in for the remote IP, this way your not just allowing port 119 to be open to everyone and their mother in Outlook Express, but only to the newsgroup server you are directly concerned with. See if that helps you at all.
Another thing you could try after that, if it does not work, is to first clear your logs, then go into Blinks options and settings section. Look for the box that allows you to put the firewall in "Passive" mode. Put it in passive mode and then go through your sequence of events of attempting to use the Newsgroups with your Outlook Express. After you are done, go back into your log, see if it made any entries for Outlook Express. Passive mode is used when you are not sure what rules need to be created for an application. (if you did not already know this.) Once you put the firewall in passive mode it will allow ALL TRAFFIC inbound and outbound freely, BUT it will log it in your log showing you what ports were used etc if it had any problems. You then use this information to help you create rules for the applications you are experiencing problems with. I hope this helps you.