Configuring a Firewall for JAP

In the past few months, I've been taking more of an interest in my online security and privacy. I've just recently registered, but I've been reading threads on this site for a while and they have really helped me. I'm now using JAP, Firefox (exclusively) for web browsing, and Comodo for a firewall. I would like to configure my firewall to prevent any leaks that could compromise my privacy and anonymity, but I know very little about firewalls. I was hoping to get some help configuring mine properly. I'm particularly interested in preventing applications from directly accessing sites and what kind of rules I should set for javaw.exe.