There may be a HELP file with your firewall that will explain some of the basic concepts, and there is a good Tutorial on firewalls at BC:http://www.bleepingcomputer.com/tutorials/understanding-and-using-firewalls/
If your firewall allows you to manage permissions by application, doing so saves a lot of time. Hopefully, your firewall normally gives you enough information to make a judgement about whether some application or program has cause to connect to the internet.
A good rule of the thumb where you are NOT SURE, is to disallow it (not permanently, but just the one time) and see whether something you want to happen happens- - -if not you can redo the task and permanently allow it.
Hope this helps, since I know that teaching your firewall can be quite confusing the first time you use one.