I do not use Comodo but use Zone Alarm but I assume Comodo works the same way.
When you get the little window that pops up there should be an option on there like "Remember this" or something like that.
Once you tick the "Remember this" option (or whatever it is called) it should not ask you again next time that application connects to the web.
Gradually as you say "Remember this" to each application (Internet Explorer, Word and so on) you should stop getting those windows.
The only time you get them is when a NEW application tries to connect to the internet.
If you dont recognoize it then it may be a virus or piece of spyware trying to connect to its server to download some code.
THAT is when you should say NO, dont let them connect to the internet.