Windows 10:

The option can be found under Control Panel > Windows Defender Firewall > Allow an App Through Windows Firewall

Click the check boxes to allow the application to communicate on Domain, Public, and Private networks.

When running a new application, you may see a Windows Security Alert pop up. If so, select all three networks, and click to Allow access.

Windows 7:

Control Panel > Windows Firewall > Allow a program of feature through Windows Firewall