Have you tried restarting your computer and seeing if the problem persists?
what a strange place for an executable, are you sure the connect.exe is legit and needs to be on you system ? sitting in c:\program files\ ?
Did you try to remove the rules Firewall/D+ for the connect.exe and see what happens after a reboot ?
What kind of application is this, ...
[cmd, telnet www.website.com 80]
Maybe a mod can merge these ?
Well, i belive this happens because comodo don't use hash values to associated the exe with the policy. I had a post in the feedback forum about that (in little bit different light thou). Let hope the developers get it that just using a filepath do associated exe to policy is not enough.