Well,...
Goto Windows Firewall > Exceptions > Select the program wich u want to edit > Click on Edit button > DO wat editing u want.
Btw, y wud u want to do that ?? the application is already listed along with its .exe location?? Say, if u hv installed any program like this:
F:\PERSONAL COMPUTER\uTORRENT\utorrent.exe
So, the .exe is already listed in the exceptions list.
If unless u are trying to ask that u hv deleted and removed the application and then again installed the application onto sum other drive and then u are trying to add it in the EXCEPTIONS list.. so follow the above underlined method... (.i.e located the .exe of that application and copy its entire path in the WIndows Exceptions list..)

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Cheers n e-peace....