I am running WinXP-SP2, which means the so-called Security Center is installed (Start>Control Panel>Security Center).
In the Security Center, you can manage security settings for The Internet, Automatic Updates, and Windows Firewall. Here, you want to click on Windows Firewall.
[NB: Alternatively, you can reach the Windows Firewall settings this way: Start>Control Panel>Network and Internet Connections>Windows Firewall.]
The Windows Firewall window has three tabs: General, Exceptions, and Advanced. Click on Exceptions.
You will see a list of programs and services that Windows Firewall is allowing to have network connections. You may see that some have checkmarks and some do not. The programs and services that are checkmarked are allowed to communicate over the network via ports. (Unchecked items are not active exceptions, but are listed in case you want to checkmark them and, thereby, allowing them access).
Simply because there is a checkmark next to a program or service, it does not mean that the connection's port is not being "filtered." The filtered connections will not show up on Speedguide's Security Scan.
My exceptions list shows three items with checkmarks, and several items with no checkmarks. There is not a checkmark next to File and Printer Sharing, Remote Desktop, Remote Assistance, and uPNP framework. No checkmark means those ports are closed.
Items on my exceptions list with checkmarks are Limewire, Yahoo! FT server, and Yahoo! Messenger. After running Speedguide's Security Scan, I still show no open or unfiltered ports. That's because the three programs listed as active exceptions are still being monitored ("filtered) by the firewall, and are not wide open to attack.