Firewall warnings are only effective if users can respond to them in a secure and effective manner. In this paper, we define what the user was doing while receiving the warning message as the context. We evaluate whether either the context in which the user receives the warning or the content of the warning message affects users' response to the warning message. We ran a user study with 56 participants via an online survey. Our results show that the context in which the warning message appears has no influence on the users' responses. We further confirm users base their responses to a warning on the content of the warning message itself. We also show that users understood the need for such warning messages and wanted to be involved in the decision-making process as long as they were not interrupted too frequently.