Something looks screwy with directshow on your machine. It looks like its failing to find the normal Window's MPEG2 splitter components.
If you're going to ask me how to fix it, I wouldnt know. These things are normally there when you install Windows. Maybe you've tried uninstalling Windows Media Player in the past, which has removed most of directshow at the same time?
It depends what firewall and what activities. Some people dont have to set any exemptions for just using GBPVR.exe/PVRX2.exe on their desktop. If you start having EPG listings retrieved from the internet, or setup client machines, or MVP clients, then yeah you may need to add some exemptions. You can use a forum search to find previous discussions about this type of stuff.