In Control Center, click the Configure button to launch the wizard. It is made of many screens, each screen asking a question with corresponding explanations.
Use the button:
Cancel to abort the firewall installation, all changes are discarded.
<- Previous to come back to previous step and change it.
Next -> to validate current choice and go on to next question.
After you have completed all steps, you are asked whether you wish to finally activate the firewall. Check the Save & Quit box and then the Finish button if you want to run the firewall with the configuration you just made.