Hey Asfy,
Please do the following to allow an application in the Firewall:
1. Open BullGuard -> Go to "Firewall" section -> select the "Overview" tab -> switch the user level to "Advanced".
2. Click on the "Profiles" tab -> Double click the "custom security" option.
3. Search the list for the application you want and set it to "allow". If it is not in the list, then you can right-click on the blank space and choose "add application".