how does one do that
Type "firewall" into the search field. Or go to the Control Panel, it's there. In Win7 there's a link in the left pane saying "Allow a program..." or something like that (I'm translating the sentence). GeForce Experience may even be on the list, or you have to browse for it. Anyhow, when you find it simply put a check mark in the "allow" box.
However, Fugitive has a valid point there. Personally I'd disable the automatic update check and do a manual update when absolutely necessary.