The Plex installation program creates the necessary exemptions in the Windows Firewall automatically - unless the firewall was disabled at the time of the installation.

If you want to create the rules yourself: https://support.plex.tv/articles/201543147-what-network-ports-do-i-need-to-allow-through-my-firewall/

(These rules do only apply to the machine where Plex server is installed. On your router, you need only grant access to port 32400.)