I've decided to test BD Windows 8 Security firewall and downloaded a utility, GRC LeakTest from here:
http://www.grc.com/lt/leaktest.htm
My BD 8 with the default settings failed the test immediately.
I've logged in as Administrator and changed my settings from Normal to Aggressive.
My BD 8 failed the test again.
I set my firewall settings to Paranoid Mode.
This time, BD 8 was the winner - GRC LeakTest could not leave my computer.
Therefore, if you want to have A REAL FIREWALL FROM BD, set your firewall settings to Paranoid mode and start clicking on those warning pop-ups.
If you want to browse the Internet without annoying pop-ups, turn Paranoid Mode off and learn how to "live dangerously" without firewall.