The wizards allow you to configure the firewall to allow certain applications to work. There are wizards for various types of applications including telnet, ftp, ssh, or game servers.
The wizard opens the standard network ports used by the application. If a particular application needs more network ports (some of which are non-generic), then use the generic port wizard to add those ports.
There are many components that need to be enabled for a particular network application. These include network ports, IP address and domain name of the host, basic network protocols such as IP, UDP, TCP, and ports for protocols like ARP.
Help specific to each application can be found in the wizard itself.