The Windows Firewall is activated automatically when SP2 is installed. If you are already running a third-party firewall then you should turn off the Windows Firewall.
The first time you run a program that the firewall blocks, a window will be displayed asking if you want to block the program or allow access. If you do not recognize the program or do not want it to access the Internet, you should block it.
If you allow access then the program should function normally. If you choose to block the program then it will probably not work the way you expect or it may not work at all. Whatever you choose, the firewall will remember your preference and will not ask you about that program again.
Most people will not need to change their firewall settings.
However, if you need to update your firewall settings, click on Start->Control Panel->Windows Firewall.
To turn the firewall off completely, on the "general" tab select "Off" then click ok. If you want to make less drastic changes, the "exceptions" tab will show you programs that are currently being allowed or denied access through the firewall. You can modify the settings for any of the programs listed or add programs and/or ports that you would like to block.
For more information on the Windows firewall see the Microsoft knowledge base articles: