There's an easier way than that. Believe it or not, Microsoft thought that people might use their own software or hardware firewall.
First, switch off the Windows firewall using the 'Windows Firewall' icon in the control panel. Then open the 'Windows Security Center', click 'Recommendations...' in the 'Firewall' box, and you'll see a check box down at the bottom of the dialog that reads "I have a firewall solution that I'll monitor myself." Check it.