An unknown service (port xxxxx) is starting on your Mac

I knew this has been asked before in the forum. Skype is the application that triggered my warning message. There are four options to pick:

1. Allow all connections to this service 

2. Allow local network connections 

3. Deny all connections to this service 

4. Don't change firewall settings 

My question is which option should I select? If I select "allow all connections to this service', will my security be compromised? Otherwise if I select deny all connections, am I going to mess up with Skype?

My Norton was provided by Comcast.

Any help will be fully appreciated.