Depending on how Windows Firewall is configured, it may or may not tell you that it blocked something. If you want to configure it to notify you when it blocks something, just do one of the following.
netsh firewall set notifications ENABLE ALL
Use regedit and set the value to zero
HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Microsoft\WindowsFirewall\DomainProfile\DisableNotifications = 0
You have to stop and start the Windows Firewall service for these settings to take effect. A reboot would also do the trick. :)