on the left hand side you should see a list of options. click "allow an app or feature through windows firewall"
next click "change settings" and add spotify.
if it says spotify is already on the list of exceptions then scroll down the programs and look for spotify. make sure all the boxes are checked. It's most likely that the box "private" is unchecked, so go ahead and click it to allow spotify to work. after that your downloads will automatically start! ^_^
Not quite . . . . . On my system (Win 10) Spotify was already ticked in private firewall list - the public list did not individually specify Spotify (or any other programme). It was only after I turned public firewall off that it worked. Just remember to turn it back on again.
Ok. So here's the thing I did to make it work (note: this only works on Windows, and at my home wifi).
1) Set the local files on your PC Spotify to point to whereever your music is stored on your PC.
2) Start Spotify and navigate to local files (you may have to restart Spotify multiple times if you do not notice some tracks that you may have just added).
3) Add the local file track to your Spotify playlist (whichever one you created, for e.g.).
4) Open Spotify on your phone, while on the same network. And you should see a grayed out name of the song. On Windows and on my home network, this grayed out song starts downloading and I can also play it. On Linux and on other networks it just appears grayed out and doesnt play or download.