This may have been disabled on your computer, particularly if you are in a Domain (e.g.: at work, in a library, etc).
However assuming that you have Administrator rights to your computer you should be able to turn it on and off by going to Start > Control Panel > Windows Firewall > Turn Windows Firewall on or off.
If you cannot turn the Firewall off through the above approach try the following Start > Control Panel > Administrative Tools > Services
Looks for the 'Windows Firewall' Service, double click it, then click on 'Stop'.
From within the Service properties you can also stop the Firewall from starting with Windows, etc.