You may not want to turn off the Windows Firewall completely. It's relatively easy to add exceptions (programs) to the firewall.
click the start orb and type
firewall allow
into the searchbox and hit enter.
You can examine the present exceptions that have been previously configured (sometimes just by virtue of having installed the software product) and examine the details by selecting one and clicking the details button.
You can edit these or add another program to the list by clicking the Change settings button and then the Allow another program button.
Additionally as OldTimer has already suggested, if you are presently behind a NAT Firewall/Router (Network Address Translation) you will likely need to configure port forwarding...