I moved this provisionally to Personal Firewall 11 - 2010 as possibly the correct spot for it but as you don't give any details I could be wrong.
Right-click the taskbar icon (or double-click) the taskbar icon to open SecurityCenter.
If your taskbar icon is shield-shaped then you have the 2010 product so do as follows:
Click Web and Email Protection to expand that section
Click Firewall to expand that
Click Program Permissions to expand that
Scroll through the programs to locate the blocked one
Highlight it and click Edit at bottom
Alter the setting to Full or Outgoing depending on what you want
Click Save
If your taskbar icon in square then you have the 2009 product and you will have to forgive me as I'm going from memory
Click Advanced Menu (bottom left)
Click Configure (left)
Click Internet & Network (top left)
Click Advanced (right)
Click Program Permissions (left)
Alter the program settings and then click OK/Apply and exit.
I hope that's it.