Because mine didn't added it automaticly I had to do it myself.
Here's a tut wich worked for me:
1. Click on start>configuration screen
2. Click on system & Security
3. You see there on the 2nd line standing: Windows Firewall
Now click under the Windows Firewall on: Allow a program to Windows Firewall
4. Now click on: Change options. Now it let you add the program
5. Now click on: Allow another program A screen will apear
6. Click on browse and search for the program ( in this cause Fgunz ) click on the .exe file and click on: Add
7. After all click on: OK
Now you got the program added to your windows firewall trusted list.
For FGunz I allowed:
svchost.exe
Gunzlauncher.exe
and it worked.
