If the firewall doesn't auto-create an app. rule for a program when it runs, (always has for me), is your firewall's default rules set on block?
check>firewall settings>>expert settings>>policies>>default rules. Set it to auto-decide or ask if it is set on block. Then run program, see if it creates an app. rule, you can adjust it after it is established to what you want.
Otherwise right-click on group you created, chose "new app. rule", then manually find the file you want to open.