Here’s how one user described the issue on Steam Forums:

What to do if Steam fails to add firewall exception?

1. Copy steamwebhelper.exe to a different directory

2. Try to repair SteamSerivce.exe

3. Reinstall Steam and clear the registry

Another way to completely remove Steam and its registry entries is to use uninstaller software. By doing so, you’ll completely remove all files and registry entries associated with Steam. There you go, three simple and easy-to-follow solutions that can help you with Steam failed to add firewall exception error. Most users reported that copying the steamwebhelper.exe to a different directory fixed the problem for them, so be sure to try that.

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