Click on the Start menu and type windows firewall in the search box. Pick the "Windows FIrewall" option that pops up in the search results. If you're on Windows XP, hit the Run option and type in firewall.cpl.
In the left sidebar, click "Turn Windows Firewall On or Off".
Under "Home or Work Network Location Settings", click "Turn Off Windows Firewall". If you want to turn it back on, just click the "Turn on Windows Firewall" button above it.
Unless you have another firewall as part of your anti-virus software, leave the Windows Firewall on for public networks. You'll need it as extra protection when you're on an insecure Wi-Fi network, like at a coffee shop, since you don't know who else is connected.