Click Tools and then choose Internet Options.
Click the Connections tab. You see a list of all the Internet connections.
Select the connection you want to protect and then click Settings.
Many home users are selecting a different type of Internet connection than through a phone line. You may select, for instance, to use a cable connection or a special phone line (DSL is popular in homes). These types of connections are connected 24/7 and do not use a phone line. Therefore, it's important that you protect your computer from outsiders. To do so, you can use Windows firewall protection.
Click the Properties button for the connection.
Click the Advanced tab.
Check the firewall option to turn it on.
Click OK until you close all open dialog boxes.
For more information on this type of protection, click the Internet Connection Firewall link.