[TheCipher]

Do you think I should turn off their firewall (if I can) and use either the Windows one of perhaps Zone Alarm.

Windows doesn't protect you against outgoing connections. I use PC Tools Firewall Plus (free). It does a good job of alerting you if something is trying to access the internet.

[don-o]

It does a good job of alerting you if something is trying to access the internet.

So does the security package I loaded. It caught several attempts as I was scanning.