By default the CRM installation wizard uses the default SQL port i.e. 1433. I don't believe you are able to specify a different port as part of the initial installation, so you'll need to ensure this port is left open for this step. Once CRM is installed you can modify the SQL port that it uses.
To do so you can follow the steps described in this post which describes the steps required to do so for a CRM 4.0 installation. The steps are only marginally different for CRM 2011.
The difference lies in the modifications required to be made to the MSCRM key in the registry. You only need to modify the configdb string. The others (database, metabase) are no longer relevant for CRM 2011.
I'd recommend the following steps in terms of implementing the above change to isolate the port change in case of issues:
- Open port 1433
- Install CRM and confirm installation
- Make port changes above in the CRM installation
- Make sure the new port is opened
- Restart IIS on the CRM server and restart the SQL service on the database server
- Refresh CRM to ensure it is still running. If not, you did something wrong.
- Block port 1433
- Refresh CRM to ensure it is still running.
