Hello,
I'm having a similar problem.
My ADSL connection to internet is PPTP VPN. No wireless components.
With Comodo Firewall v. 2.4, everything was quite simple: install it, and connect to the internet.
After the notification that there was an upgrade (v.3), I downloaded and installed this new v.3 ; I tried the advanced (defence+) option, but no way connecting to internet!
I un-installed v.3, re-installed v.2.4, and there I was: online again!
Then I un-installed v.2.4, re-installed v.3 (but now only the basic firewall), and again: no internet connection possible.
Working again with v.2.4 now, I'm wondering what I did wrong...

(noooo, I did not click away the screen that notified me that v.3 had detected a new network).
Or is v.3 only for specialists, and not for (experienced, but not specialized) home users like me? It sure looks impressive, but without internet connection it's useless for me.
Config: Windows XP Home SP2, with all updates, admin. rights, AVG anti-virus.
Could anyone help, possibly in not-too-technical terms, as I would like to use v.3 also on my new (second) computer-with-Vista?
Thank you!