Did a bit of research in the archives and took the advice offered in the reply to .FaZio93 on April 17, 2008, but…
The Stealth Ports Wizard will NOT change to either ‘Block all incoming…’ or ‘Alert me…’
The Wizard tells me the firewall has been configured accordingly, but when I go back to check, it is STILL on ‘Define a new trusted network…’
It is confusing you don’t see the Wizard did what you asked it to do. To see the changes you need to go to Firewall → Advanced -->Network Security Policy → Global Rules. You should see the rules added as you see in the attached image (The screenshot was taken from a test version of v4; hence why the user interface looks a bit different).
Are you behind a router? Then you are probing the router from sites like GRC and not the firewall of your computer.
My rules are the same as you show in the screen shot, but Shields Up still gives me a fail:
Ping Reply: RECEIVED (FAILED) — Your system REPLIED to our Ping (ICMP Echo) requests, making it visible on the Internet. Most personal firewalls can be configured to block, drop, and ignore such ping requests in order to better hide systems from hackers. This is highly recommended since “Ping” is among the oldest and most common methods used to locate systems prior to further exploitation.