If it is the windows firewall it should prompt you asking for a new program to be granted access or blocked.
If it does not you can try playing with it off then turning back on after game time at - Start>Settings>Control Panel>
Windows firewall then select off.
If you are using another firewall it should also do that or you can go into the exceptions and add the program and it's executables manually.
Sometimes with windows OFF doesn't really mean "OFF" it means the core executable is but the run time componets that make it work are ON. You have to reboot with off option saved sometimes and or remove the firewall/security run times from
Start>RUN>msconfig under services and startup remove the firewall and it's componets and save. Then possibly install another firewall and security suite.