Click one of your Windows Servers you're monitoring. Click the "Checks" tab at the top, then click Port Check. There you scroll down under "Other Checks" and choose Windows Firewall Check. You can monitor the state of each (Domain, Private, Public) separately on all your associated servers.
Note, the top you have "Associate Server Monitor(s) area, this allows you so check, or uncheck each server you want to add this Resource Check Profile to. Makes it handy to issue to many at one time.
Lastly, make sure you Threshold and Availability Profile thats associate to the server you want to monitor has the "Alert when a resource check profile fails" is turned on and choose your Notify As. You can also setup Automation for items like Opsgenie alerts, etc.
Hope that helps.