Noone uses that firewall anyway but for those who do, it adds an entry that allows outgoing traffic. Somehow this is not compatible with the XP setting and next setup will have this changed. But I didn't hear of problems with that windows firewall anyway.
You don't need any firewall with GSA Search Engine Ranker as no IE or alike is used and can infect your PC. But I would go for comodo firewall (free and stable).
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