Click the link in your post
URL: https://maven.fabricmc.net/net/fabricmc/intermediary/1.19.2/intermediary-1.19.2.jar
It will open your browser and download the file intermediary-1.19.2.jar.
Place that file where it tells you to in the error > Path: C:\Users\Admin\AppData\Roaming.minecraft\libraries\net\fabricmc\intermediary\1.19.2\
To manage the firewall, you can find plenty of tutorials on the internet