Hi,
It is ON by default as mentioned:
Turn on Windows Firewall . This setting is selected by default. When Windows Firewall is on, most apps are blocked from receiving info through the firewall. If you want to allow an app to receive info, use the following steps to add it to the list of allowed apps. For example, you might not be able to receive photos in an instant message until you add the instant messaging app to the list of allowed apps.
You can check and use the following article to turn ON if required:
http://windows.microsoft.com/en-AU/windows-8/windows-firewall-from-start-to-finish
Regards.