This tutorial will show you how to turn on and start using Windows Firewall.

First you have to find your connection on which you want to turn on Windows Firewall. To do this go to Start -> Connect To -> Show all connections menu.

Also you can get to Connections menu from Start -> Settings -> Control Panel

Next right click on your connection and select 'Properties' like shown on the picture below.

Now go to 'Advanced' tab and click on Settings button in Windows Firewall section

From the new window Windows Firewall click on On (recommended).
Also from here you can turn off your Windows Firewall or set Firewall properties.