Adobe Captivate 9 for Windows will ask for permission to pass through the Windows Firewall program. Accepting or rejecting permission won't affect Captivate's performance, and you can still create demonstrations as expected. On the other hand, these messages can become annoying. If you want Captivate top stop generating these messages, you can turn them off through some simple file renaming.
If Captivate isn't updated and later installs an update, you will have to repeat the process. So it's best to make sure Captivate is current prior to performing the renaming procedure.
Once you restart Captivate you might be asked about the firewall one final time, but you shouldn't see any additional firewall messages unless Captivate installs an update.