Veedaz may have inadvertently assumed you are using Windows 7, as you have posted here. (I believe the picture is Windows 7?)
Open the Control panel. and click the Windows Firewall icon. You will see an item there, simply On or Off. Of course, you should be on!
If, when you select ON, you get an error, try this:
In the Run box on the start menu, type services.msc after a small wait, a list will appear. Scroll down to Window Firewall. If it says disabled or off, then double click it. Now, in the next window, put it on Automatic. back out and restart your computer. Go through the first procedure again and see if your firewall is now working.
I am doing this from memory, so you may find some text differences as you work through these instructions. -