Why use the Windows firewall? SEPs is FAR superior and much more configurable - and you can make it location aware.
Do this if on our network, do that if not on our network, for example.
Windows own firewall is a stop-gap at best - something to use until something better is installed.
Are the install files getting to the computer to begin with? It should copy files into the C:\temp folder by default then launch setup.
I've seen cases where the files were being blocked, and cases where they made it, but the launch of the install wasn't happening. Different issues with different causes.