Comodo is automatically allowing certains apps to connect to the internet

Back when I had Zone Alarm, it always alerted me when a program wanted to access the internet, no matter what it was. But it seems Comodo is automatically allowing certain apps like MSN Messenger to connect. I can’t seem to find an option to make it so it always asks me about every app. What can I do? Thanks.

Right-click on the CIS shield tray icon, mouse over “Firewall Security Level”, and click “Custom Policy Mode”.

http://dlrvdq.bay.livefilestore.com/y1pOzJme2TY9fXrN41rKJaf-pUzl1JqII4ss3K64dt4nB-FySwlI3BBx1j4RTGvrgsdJQRE5ihaNniaIxpiFYjLWhXvwljHiTyi/CIS%20-%20C.P.M.png

Thanks, you were big help! ;D