To disable the Windows firewall:
1)
"Classic" menu in XP or pre-XP menus:
Start Menu > Settings > Control Panel
XP themed menus (probably the same in Vista):
Start Menu > Control Panel
2)
"Classic" View of Control Panel in XP (or pre-XPs):
Click on Windows Firewall
"Category" View in XP (probably the same in Vista):
Click on Security Center > Windows Firewall
Once there, just disable it.