In the right place? See basic setup instructions for initial configuration of Windows 7 firewall.
Note: Before starting, disable all firewalls on your machine, including the Windows 7 firewall. Don't use Remote Desktop Connection (RDC) or a similar program to install firewall software. Directly connect to your Windows machine, install the firewall, configure it to allow connections to and from RDC, and then reconnect RDC. Otherwise, the firewall blocks the remote connection, and you can't access your machine.