The windows firewall should be enough, an other approach is a free router with proper router OS installed like PFsense or OpenWrt or the BSD router project
its the whole point, malware and trojan`s and all other this and that can just to a api hook to any program, dll, memory address and start keylogging and send everything to where ever they like
if you don`t know what the notification is about, you choose no, then look into it when you can be bothered