If you run a program such as an ins

If you run a program such as an instant messaging program or a multiplayer network game that needs to receive information from the Internet or a network, the firewall asks if you want to block or unblock (allow) the connection. If you choose to unblock the connection, Windows Firewall creates an exception so that the firewall won't bother you when that program needs to receive information in the future.

For more information, see Firewall: frequently asked questions.