For a simple, default server setup, open ports 7777/UDP, and 27015/UDP in your firewall.
Port=7777
(game data)QueryPort=27015
(Steam queries)
Be sure to run the server (StartServer.bat) once, so it can generate the initial config files!
It is best to combine this configuration with the batch file setup here (so add the ConanSandboxServer.exe params to a new start.bat file instead)!