If you've installed a third-party firewall, such as Zone Alarm or Comodo (or the firewalls incorporated into the security suites from Norton or McAfee) it should automatically have switched the Windows firewall off. (Having two firewalls running simultaneously is a recipe for disaster, since system conflicts can occur). So you might NOT want to turn the Windows firewall back on. Only do so if you're sure that it will be the ONLY firewall running on your PC.
If you're certain that you want to turn the Windows firewall on, go to Start > Control Panel and double-click on 'Windows Firewall'. Click the 'On' setting, then 'OK'. (You've not stated which operating system you're using. Those instructions are for XP but they probably also apply to Vista and 7, although Microsoft seem determined to make simple tasks harder with every new version of Windows!)
Chris