Hello.
I had a little look over some of the documentation for the Anti Hacker program. It seems you have to make a new application rule for Azureus by selecting "Application rules" in the "Service" manu.
Note: Azureus uses Java so you will also have to make a rule to allow Java internet access.
The documentation for Anti Hacker:
ftp://d-eu-2f.kaspersky-labs.com/docs/english/kasp1.8_anti-hackeren.pdf