Since you are on the Windows machine, these things can be done,

Execute the following command and look for a ":3306" listener (you did not mention UDP/TCP). This will confirm there is something running on the port.

netstat -a -n

After this, if you are expecting incoming connections on this port and feel that the firewall may be blocking them, you could start windows firewall logging and check the logs for dropped connections

Go to the Windows Firewall, Advanced settings
Click on the Settings button next to "Local Area Connection"
Select "Log dropped packets"
Look at the log file location (if not present define one)
Click OK
Now, when the connection attempt is made (assuming you know when this is done), look at the log file for a drop on port 3306.
If this is seen, you will want to add an exception for this port.
There is one more command to check the firewall state
(Update for Windows 7 users -- as referred by Nick below -- use netsh advfirewall firewall)

netsh firewall show state

this will list the blocked ports as well as active listening ports with application associations
This command will dump the Windows firewall configuration detail

netsh firewall show config


C:\Windows\System32>netstat -an |find "3306"