The firewall allows the most commonly used programs to access the Internet. However, if an attempt to connect to the Internet from another program is detected, you'll be asked, through a pop-up message, if you want to allow it or deny the connection.
Carefully read the program name and description displayed in the warning and assign the permissions you want, depending on the reliability of the program.
By doing this, as you assign permissions to the programs installed, you will gain total control over the connection established between your computer and the Internet (and vice-versa), and will be able to deny connections to the programs you want, if necessary.
For more information, refer to How can I configure the permissions of the programs that try to connect to the Internet?