if you installed a program with the firewall, just go into the program and shut it off from there. also, if you're running XP, you may have the fire wall on in there. to turn that off, go to: START>CONTROL PANEL>NETWORK AND INTERNET CONNECTIONS> NETWORK CONNECTIONS, then you should see the router or symbol. you can do two things, right click on the picture, and go to properties, or single click on the LAN symbol, then go to the left pane of the control panel, and you should see the option at the bottom of the highest box "Change settings of this connection". whichever one you clicked on, (ie properties or the change settings) it will take you to the same place, a rectangular box of sorts. click on the "Advanced" tab on the top row of tabs, and there should be a check box there, next to it saying "Protect my computer and network by limiting or preventing access to this computer from the internet." if the box is checked, uncheck it, and your firewall is off, if it isn't checked, your firewall is already off. hope this was of help.
(btw, if you are in the "Classic View" of control panel, there is the option "Network Connections", just click on that, and follow the rest of the steps mentioned above.)