When you start a test, LeakTest program tries to connect GRC.com Web Server. Your firewall should right a way warn about this outbound connection. Just do not allow that outgoing connection and LeakTest is successfully finished.
You should always have a decent firewall, that warns about outbound connections too. Let say you i.e. got a virus on your system, that takes connection to hackers server. You don't wanna that to happen.
Thanks for the link CeeCee, although I'm a 100% fail without even trying it, (windows firewall), I'v installed it in the event that I may at sometime change to a 2way firewall.
I had a version of this which I forgot about when reinstalling OS recently.
Not being rude or anything bad but that type of leaktest is really old, there are better leaktests scattered around the net. Just check on Matousec's firewall test results and check the leaktests used and try them by yourself.