Windows Vista : Configuring Windows Firewall.

Windows Firewall.
Provide the critical first line of defense. A smarter, more easily configured, and automatically running Windows Firewall helps protect you against many types of malicious software.
Configure the Firewall:
Choose Control Panel from the Start menu, and click Security Center. Under Windows Firewall, click Tturn Windows Firewall On or Off to display the dialog box.
On the General tab, verify that the Firewall option is set to On.
On the Exceptions tab, select the programs you want to grant full access to your network and/or the Internet through the firewall, and clear the check boxes for any programs that you want to prevent access to through
the firewall.
If the check box for displaying a notice when a program is blocked or is not selected, select it.
Click OK.