Go to start - control panel and look for either system and security or firewall. You then just click on the application and say turn firewall off. Alternatively there should be a button which says allow programme through windows firewall, which is better than turning it off completely.
what id have said......
if you turn your firewall off your just asking for trouble.
all firewalls ask if you want to allow or disallow something from going out or getting through. are you sure you didnt accidentally click block or never or what it is your firewall says?