Mike has System Mechanic installed on his computer, and a warning came up that his firewall was not detected. Mike went to Windows Firewall in Control Panel, and it told him he needed to update his firewall settings. When he tried to change the settings, however, he got an error message.
Mike currently has ESET's Nod32 for antivirus, and uses a router. Leo says that the router is a better firewall than the one he had on his computer, anyway. This will effectively protect him from any 'bad guys' from taking advantage of a flaw in Windows. The reason Leo still recommends a software firewall is to protect from infections that could come from within the network.
Leo doesn't recommend using System Mechanic in the first place. Leo's concern is that System Mechanic could be interfering. Mike may want to try disabling ESET or any other security software that he has running to see if the firewall would work then. The Windows Firewall shouldn't be disabled by Nod32 alone, though, it would be if he had a complete security software package.
The chatroom recommends this Windows Firewall Diagnostic. BigJinge suggests running the ESET services repair tool.
(Disclaimer: ESET is a sponsor).