Go to Control Panel
Click on Windows Firewall
On the top left click on Allow a program or feature through Windows Firewall.
Click Change settings
If your program is listed, click the box and tick it. Other wise click on Allow another program... Then Browse and locate the program and Add it.
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If you are using an Antivirus/Internet Security program, which has its own Firewall [and disables Windows Firewall], then you need to setup a rule in that.