Windows Defender has a firewall installed - if you're not running any other antivirus software (McAfee, Norton, Avast etc) with a firewall of its own, open "Control Panel" then in the search box (top right) enter "Action Center" then open that.
Click "Security" & you should see something like "View installed firewall applications". Click that phrase & from the window that appears, select "Windows Firewall" to "On".
I reiterate, another firewall already running will disable the Windows one, so if that is the case & the works program won't work with it, you'll need more expert help than I can offer, sorry.
HTH