Program configuration is not necessary in OS X. When a program tries to access the net for the first time, the firewall will ask you. All you have to do is supply an answer, yes or no. You can access some advanced settings by opening System Preferences, Security, Firewall. Click on the small lock, provide your password and then click on advanced settings. From there you'll see some more options. But you really should not need to do so except on rare occasions.
Regards.