What? That firewall fucking sucks then, honestly. Every basic firewall has something of the sort.
The solution I can provide you with is installing another firewall software that is good, you can disable your windows fw and use the custom one. I use COMODO Firewall, it is awesome and is very user-intuitive (be cautious not to install other shit they almost trick you into installing like secondary comodo programs, though).
The program clearly shows you what it is and isn't blocking if you look at the advanced configs, but if it recognizes a program that is trying to connect to the internet it will notify you and let you choose between various actions (block connection; block connection and close program; allow connection for this program; allow and don't notify anymore; treat as a browser; etc). That may annoy you at first glance but then you won't get notified anymore since it will remember what you choose.