You will first need to open the Control Panel from the Start Menu. Once you have the Control Panel open, make sure the Control Panel is displayed in "Classic Mode". You can toggle this mode via a link in the upper left hand corner of the control panel. See figure below.
You should now be able to locate the "Network Connections" icon in the Control panel. Double-Click on the icon to open up the Network Connections window. See figure below.
Now, right-click on the Local Area Connection icon, and select Properties. See figure below.
On the properties box that comes up, Left-Click on the Advanced tab at the top. Place a check in the checkbox that states: "Protect my computer and network by limiting or preventing access to this computer from the Internet". See image below.
Click OK and after a few seconds the properties box will go away. You can now close the control panel.