Windows firewall comes preconfigured to block all incoming connections, which means that incoming ICMP connections (ping) are also blocked.
For proper server monitoring and other testing, ICMP should be allowed servers. Unlike WindowsXP there is no option to enable this from the graphical user interface (GUI), so this has to be run from the command line.
To enable ICMP in Windows Firewall, issue this command from the command line:
netsh firewall set icmpsetting 8 enable