Im going to assume your using the Win7 firewall.
Make sure you do all this as admin
First you need to get into the firewall in control panel. On the side there is "advanced settings" click it.
Now you want to select "inbound rules" and then click "new rule..." on the right hand side.
Select port and add the port details. You probably want to repeat the process for "outbound rules" also making sure you select "allow the connection".
So what are you trying to get through the firewall?