By default, Windows Firewall doesn't block Heimdal.
If you want to create a rule in your Firewall, Heimdal needs these settings:
http://heimdalprodstorage.blob.core.windows.net with local port 80;
https://cloudservice.heimdalsecurity.com with local port 443;
https://rc-cloudservice.heimdalsecurity.com with local port 443;
https://dashboard.heimdalsecurity.com with local port 443;
https://rc-dashboard.heimdalsecurity.com with local port 443;
https://prodcdn.heimdalsecurity.com with local port 443;
126.96.36.199 with local port 1.
Also, please whitelist the following IPs in Firewall (these are the IPs addresses of our cloud services):