Where and How do I change my Firewall Settings?

My Windows Live Messeger (MSN) won't work due to the firewall. How do I change the settings to make it work? Everytime I try to sign on it says ';We were unable to sign you into Windows Live Messenger at this time/ Your firewall may be blocking Windows Live Messenger from connecting to the sevice. Please review your firewall settings.Where and How do I change my Firewall Settings?
Well, it would have been really cool if you mentioned what Firewall software you have installed on your system and your OS (Vista, Windows XP,....). You can see what windows thinks you have running by click Start, click Control Panel and then click Security Center (shield icon). I doubt if it is Windows XP firewall because the installation of Live Messenger will put a Messenger entry into the XP firewall. How about turning off your firewall (after you find out what you have from the Security Center) and see if you can sign in. Another approach would be to start Windows Live Messenger, but don't try to sign in. On the sign in Window at the top, click the Tools tab, click Options, and then on the Options Window, click Connection. Then you can try some tests. Otherwise, you might try the old uninstall and re-install. Good luck.