If you use Microsoft Windows Defender's Firewall product, you may see an alert similar to what's shown below. In this example, Windows Defender Firewall is asking whether it's okay for NinjaTrader to access networks from your computer. This alert can appear if it's the first time that the program tries to access the interenet, and it's something that Windows Defender doesn't recognize. This is useful in case an unauthorized program, such as accidentally-installed malware, attempts to reach out to servers or transmit your information to others - which you wouldn't want to approve. If you don't recognize the program, this is the opporutnity that the firewall program gives you to prevent such a program from sharing your information, for example.
Most users will want to allow certain apps to access the network, including the internet, or "the web". A program like NinjaTrader must be able to get data, place orders, authenticate indicators, etc., via the network. Preventing a program like NinjaTrader from accessing your network would prevent the program from being useful.
You'll see that the alert offers a couple of options to allow: Private and Public networks. The image shows a checkmark being applied for allowing private networks access to your home or work network, which is a private network. This allows both sending and receiving information. A public network would be a "free" network offered by a coffee shop or restaurant, etc., which can be a bit more risky as there could be malicious users on that free network (and can typically be protected by using a trusted Virtual Private Network (VPN) that encrypts your data while it's being transmitted).
If you're on your home or work network, it's most likely ok to allow the private network option to let you continue to use the program. This likely creates an exception rule for the listed program allowing it to use the network without asking you again. If you decline it, your program will likely not be able to access data it requires from servers on the internet. Note that this assumes that all of the other devices on your private network are safe, so it's good to practice good internet and malware hygiene across all of the computers and devices on your network, by making sure all the computers and phones remain free of virus and malware.