Changing firewall setting in Apple program

Hello,
When am trying to log into a gaming site, it wouldn’t let me connect. Then I went to edit my firewall and got the message. “To change the apple firewall settings, turn off the other firewall software”.
I want to know how I would do this when I didn’t even know if I had another firewall. Then I have searched for firewall and only found something.
A little confusion in my mind, labeledcom.apple.sharing.firewall.plist
which has many drop down menus in it – the main being Root and all my apple firewall options in it. Sorry,
I know you would be able to tell me about this. I have very little knowledge about computers 🙂
Please give me a solution.
Thanks in advance
