To be honest, I very rarely need to fiddle with the firewall... but if you come across an application trying to connect and you are certain your WiFi / Ethernet / Router / Modem is working fine [IE, Can browse to a website, several that is...] then you can either allow that application through it or disable it entirely for a short while, while making sure you do not browse to some questionable websites during that time...
There is likely more to this so be sure to investigate forums on the matter beforehand in case you need a patch or something first... might be the remote server is down or updated etc...