Oh, it's fantastic, that I'm not alone with my problem...

After trying out many other firewalls, I discovered this problem only with comodo.
Altiris installs a filter, so that files are virtually in a specific folder (e.g. when you look in the explorer you will find the opera.exe in the path D:\Opera\Opera.exe, but originally it is in the path D:\Altiris\fslrdr\...\Opera\Opera.exe.
With Altiris it is possible to obscure the strange looking path, where the files are stored, so that you won't see any file like this on your computer: D:\Altiris\fslrdr\23\...\Opera\Opera.exe, the only appearance is D:\Opera\Opera.exe (made a search through all partitions).
So I think comodo uses another identification of path+file, which causes the error. All I discovered is, that comodo does NOT like the colon in the specifed path in the application rules.
It would be great, if the support could answer my tickets than just closing them.