First, click the Start button and select 'My Network Places':

The 'My Network Places' window will open. It will list known shared resources. At the top, you should see the string 'Local Network'. Click on it using the right mouse button and select 'Properties' in the dialog that will pop up.

A window showing your network connections will open. Right click the network adapter. If you have more than one adapter installed (e.g. if this machine is used as a gateway for internet connection sharing), click the adapter connected to the internet.

In the adapter properties dialog, select the advanced tab. Check the 'Internet Connection Firewall' checkbox and proceed by clicking the 'Settings' button.

The "Settings" dialog will pop up. Select the 'Security Logging' tab and make sure 'Log dropped packets' is selected.

Finally, close the dialogs by clicking 'OK'.