Microsoft Security Essentials (MSE) does not control Windows Firewall, it is part of the OS.
It will however disable Windows Defender as it is a replacement for Defender.
When you go to Control Panel\All Control Panel Items\Windows Firewall, click on Advanced Settings listed in the left menu panel.
That will take you to the Windows Firewall with Advanced Security window. From there you can View, Create, Modify, and Delete Rules to help protect your machine.
For help click on either of the two blue question marks you see or you can post back here, and I will try to answer any questions.
One is located under the menu bar, the other in the Action Pane on the right.