OK a few things, (I've done a bit of 'looking up')
A telephone or modem type protector
should sort of work on the PC / wx side cable - It will
NOT work 'as is' on the sensor side because of their crazy cabling.
For this PC side, a plug-board type is necessary OR if you are using a Telco jack fitted with GD21A ( not GD11B)
with the Earth connected ! - this will offer some protection for the PC but not the wx !
Even if you wired your own on the sensor side cable then it is still possible for the com port to be fried because these are 'Shunt' circuits and may not dissipate the energy quick enough !
Apparently it is VERY difficult to stop your cabled system from being fried !
One recommendation I found was to put in LOW current, 10 Ohm resistors serially in all four conductors to act as a 'fuse'. ie. break open rather than shunt, but of course that does make them a 'One Shot' device. still something worth considering though.
The consensus of opinion is "If you expect lightning - unplug your external sensor cables"
Apparently this also applies to one-wire lightning detection systems