How to change settings for Windows Firewall?

I installed a trial of RM Recorder, as I want to try recording
streaming video. But on first reading its Help at
http://www.replay-video.com/wmr/supp...bout_recording
it specifies that I need to allow an exception in my Windows Firewall:

"Windows Firewall:
1. Open Windows Firewall. Click Start, Settings, Control Panel, then
Network Connections. Next, choose Change Windows Firewall Settings.
Windows Firewall appears.
2. Click the Exceptions tab. The screen below appears:
etc"

But after getting into Network Connections, I see no such 'Change
Windows Firewall Settings'. And if I r-click my broadband entry, or my
LAN entry and select Properties and the Advanced tab, all I seem able
to do is either enable or disable the Firewall.

So how could I go about adding an exception please?

This is Win XP Home, with SP1.

--
Terry, West Sussex, UK