Windows has two main built-in groups that you have to choose to be apart of. Public and Private. It's Windows Firewall telling you that an application you're running (usually on the first run) is trying to get outside on the Internet. The firewall is informing you that it's trying to speak and you have the ability in the popup to either allow access entirely for the Private/Public network group, or not.
If you don't allow it, online elements will be blocked perhaps causing issues playing online.
It's just a firewall doing its job of telling you programs that are trying to access outside the network with or without your knowledge.
I think an easier way to see it is like this:
win7 has 3 built in firewall "rule sets". When you first connect to any network you will get the popup that says "choose a location for this network"... either home, work, or public. Clicking one of these locations actually is just choosing what firewall rule set you would like to use. (You can also change the rule set or "location" by going to the network and sharing window and clicking the home/work/public icon to the left of your network connection. The 3 default rule sets are:
1. Public - selecting this location will set the firewall to pretty much block anything incoming.
2. Work - sets the firewall to allow the most common types of connections such as file sharing, netbios lookups, dlna sharing, etc
3. Home - sets the firewall to the same as work but also enables some addition features such as home group which in my opinion is a pain in the ass to work with.
I ALWAYS use the work location as it sets the most common inbound rules to allow and I can always go into the firewall "advanced" section and add anything additional myself.
If there is any inbound connections needed from programs that are not in the allow list, the program will tell windows to pop up a message asking if you would like to add the connection rule to the firewall allow list and also which rule set or "location" you would like to add the rule to.