Clicking "Turn Windows Firewall on or off" in the previous screen brings you here. If you click on "Turn on Windows Firewall" in the circles (you may also hear them called "radio buttons"), you may notice that the box "Notify me when Windows Firewall blocks a new program" is automatically checked.
It's a good idea to leave this checked, as a security measure. For example, you may have a virus, spyware or other malicious program try to load itself on your computer. This way, you can keep the program from loading. It's a good idea to block any program you have not just loaded from a disc or downloaded from the Internet. In other words, if you didn't initiate the installation of the program in question yourself, block it, because it's likely to be dangerous.
The "Block all incoming connections..." checkbox will essentially shut your computer down from all networks, including the Internet, any home networks or any work networks you're on. I'd only check this is your computer support person asks you to for some reason.