In windows XP if you go to the properties of the connection (dial up or broadband) in network connections you can then enable/disable the built in Windows firewall. Also if you are running a firewall like ZoneAlarm you can disable it in the icon taskbar near the clock.
However what are you trying to download? A site that tells you to disable your firewall when downloading from them sounds suspicious. If it is telling you that you will have to stop a popup blocker or cookie control program it is not quite so suspicious, but even so be careful.