1. Try resetting firewall to defaults
2. I assume you enable the firewall and it immediately disabled itself. There are several posts here that say this and they seem to have an rootkit infection.
Try each of the following and see if they pick up anything
McAfee Communities: Anti-Spyware, Malware & Hijacker Tools
3. I assume windows firewall is off and you have no other firewall or AV installed? Even and old 1 not correctly removed can do this.
Services for windows firewall should be on auto
see what happens when you try above thoughts.