You can prioritise your Ethernet Network adapter, steps are shown below and they are extract from this WindowsCentral.com article.
On Windows 10, if you have a device with more than one network adapter
(such as Ethernet and Wi-Fi), each interface receives a priority value
automatically based on its network metric, which defines the primary
connection that your device will use to send and receive networking
To change network adapter priorities using Control Panel
If you want to change the order in which Windows 10 uses network adapters, do
- Open Settings. Click on Network & Internet. Click on Status. Click the Change Adapter options item.
- Right-click the network adapter you want to prioritize, and select Properties.
- Select the Internet Protocol Version 4 (TCP/IPv4) item. Click the Properties button.
- In the "General" tab, click the Advanced button. Clear the Automatic metric option. In the "Interface metric" field assign a
priority value for the adapter.
Quick Tip: The lower the metric number means higher priority, and a
higher number indicates lower priority.
- Click the OK button. Click the OK button again. Click the Close button.
Once you've completed the steps, Windows 10 will prioritize the network traffic depending on your configuration.
The only caveat using the Control Panel experience is that depending on your network setup, you may need to adjust the metric for the Internet Protocol Version 6 (TCP/IPv6) as well, if that's the protocol you're using. (Usually, you will be using the TCP/IPv4 protocol.)
At any time, you can revert the changes using the same instructions, but on step No. 9, make sure to check the Automatic metric option.
If this doesn't satisfy You, than Windows Firewall is a place to go, or maybe You will need something more(will need some more info).