When your firewall software sends you an alert, it will probably contain information about which program is requesting a connection to the Internet. If it's a program that you have chosen to open, you may just need to confirm that access to the Internet is allowed.
If you do not recognise the program, you may need to exercise caution and find out more before allowing access.
When in doubt, deny the connection until you can find out more about the request. If you are sure about the request, you can tick Do not show this message again on the pop-up prompt.
-- Does firewall software make my connection completely safe?