I recently switched from Norton to MS Security Essentials (See my previous question). During installation I checked to activate Windows Firewall (recommended) but now I get the Firewall notice of warning to allow sites that I have been using for years. Do I really need Windows firewall? Thanks.
You'll need to add a rule to allow the program that the site is using and you won't get the message anymore.
Without knowing which websites this happens on, I can't say directly which program you need to allow.