computers: Microsoft fights its own Firewall

I'm trying to get a PC to make sounds. Start > Control Panel > Sounds and Audio Devices > Voice > Test Hardware takes you through some little test. But first it conflicts with the Windows XP SP2 firewall blocking access to the Internet, and then the Microphone Test brings up

Name: Run a DLL as an App
Publisher: Microsoft Corporation

WTF does this mean?! I don't want to run DLL's as Apps, and what does this have to do with the Internet?