You get an error that K9 Web Protection is blocked by a firewall, or a message from your firewall asking to allow k9filter.exe to access the Internet.
k9filter.exe is the executable file used by the K9 application. In order to use the K9 Web Protection, you will need to set your firewall to allow k9filter.exe.
You will be prompted by your firewall during the installation to allow k9filter.exe, as well as the first time that you run the program. This is because during installation, the k9filter.exe program is run from a temporary directory.
Note: Depending on the firewall used, it may or may not re-prompt you to allow k9filter.exe each time the application is updated.