Does that happen when running as a normal, non-admin user? If not, then you forgot the first rule of computer security: If untrusted code is running in a priveledged account, it can do anything it wants, you've already given up all security. No checkbox can do more than slow its creator down while he figures out how to bypass it.
Any firewall that asks you whether software running as root should be allowed access, is doing it as a courtesy; any malware can instantly either add a trust for itself or shut the firewall down.
|