You might want to read through the Client Guide that comes with the software, in the Documentation directory. Specifically, Chapter 6 is all about Network Threat Protection; page 112 (at least for RU6) has a walk-through for creating a firewall rule.
ETA: I think I understand to what you're referring now--you want the unmanaged client firewall to 'learn' previous actions? I believe enabling network application monitoring (and prompting action on every applicaiton that runs) will do what you want it to do. I would still review the documentation, though most of the documentation is geared towards a managed environment.
sandra