Turning off all firewalls will allow you to move through the exercises more quickly because you won't have to deal with firewall issues. I believe for the most part windows firewall is outside the scope of the MSSQL certification exams. However, I suggest you do know the default ports used by SQL services (1433, etc.).

However working through these firewall issues will be beneficial should you find yourself in the job where you need to get servers talking to each other while leaving firewalls up.