When you connect to internet trougth a firwalling router any test comeing from the internet test the firewall on your router, not your pc.
Testing a firewall can be done at different levels and at higher level it's the job of some security company.
For your need any site offering free limited port scan (as zonelabs or grc.com).
If you have a friend with some experience you can ask him to perform a more accurated port scan and security check.
Anyway many simple scripts that you can find on the web are much better than a personal firewall