If windows firewall blocks a connection, it will prompt you for action. But if you play Dota at LAN, windows firewall will block it without any notice.
So, many people choose to close directly windows firewall or using alternative firewall. To be honest, although windows firewall is less security, but it is far not annoying that others firewall, and is good for gamer.
To use windows firewall and play LAN Dota together, just go to windows firewall at control panel.
Then go to Add Program, add war3.exe and Warcraft III. exe to exception list. and woloa, you can play LAN Dota with firewall on.