To disable the Windows firewall:

"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

"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.

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