I'm not a guru, but here's how:
1. Log in with administrator rights.
2. Hit start -> Control Panel -> Windows Firewall
3. In the right pane, hit "Allow a program or feature through Windows Firewall"
4. At the top of the window hit the "Change settings" button.
5. Then at the bottom hit the "Allow another program..." button.
6. Hit the "Browse..." button and add files.
7. They will appear on the list of additional programs (still in the small window). Select the file you jast added to the list and hit the "Add" button. It is now added to firewall exceptions list.
8. You are back in the main window, your files are now in the list. Make sure there's a check mark in their box, as well as in the columns of network types (Home/Work and Public) that will allow the file. If you're not sure which group YOUR network belongs to, mark both (Home/Work and Public)
9. Hit OK.