If you click on the link "Click here for more info", you can see additional information.
If you click on the File tab, you will see details on the executable file that is requesting network access, i.e., WinVNC.exe.
If you click the Network tab, you will see the details on the network connectivity being requested.
The local port will be 5900, since that is the default registered port that VNC servers listen on.
To permit UltraVNC to accept incoming network connections, click on the Allow button at the "VNC server is asking for access to the internet" window. That will allow access from any IP address, not just the one that was attempting to connect to UltraVNC; if you need to allow access from only particular IP addresses, open BullGuard Internet Security.
Click on the button with the 3 dots on it to the right of Logs in the Firewall section of the window and select Manage Rules. Then locate the entry in the rules labeled "VNC server".
Use the scroll bar below the list of rules to scroll to the right until you see "Hosts".
If you hover the mouse pointer over the Hosts button in the Remote hosts column for VNC server, you should see "Remote hosts: Any address".
If you click on the Hosts button, you will see a Remote hosts window where you can specify an IP address or addresses.
If you wish to restrict the VNC connectivity to the minimum required, you can change the Protocol setting to TCP rather than TCP+UDP, since UDP isn't needed, and you set the local ports setting under Ports to just 5900. That will still allow you to connect to the system via VNC for remote administration and also still use the file transfer capability provided in UltraVNC.