it's not your firewall - it's more lkely to be your browser
(this isn't strictly accurate .... but it should give you an idea of what's going on)
each type of program (that accesses the net) uses a particular port - which allows that type of data through
your web browser uses port 80 for web pages
the clock in windows sets itself through port 123
and if you buy something - your secure link is over port 8080.
so if you need to visit AB and the BBC - you use port 80
explorer, firefox, netscape all "look" through the same "hole in the wall" - and if you close it ... nothing can surf
as security gets more complicated .... your firewall might take on the job of blocking sites ... but it's an add on
it's just as likely to be your virus scanner .... or your browser
and I think that's the most likely
http://www.wikihow.com/Remove-a-Website-From-t he-Restricted-Site-List-in-Internet-Explorer.
if not ... come back with a list of your security progs