I HATE when that happens! Especially in a corporate environment. Spyware- and virus-mongers should be put on the chain gang - digging ditches in southern Mississippi. In summer.
Micro$oft's firewall is crap. I installed XP SP2 the last time I reformatted, and I didn't really care for the firewall portion. You can't even use it to block individual ports! (Or at least no way that I could find.)
So I disabled that sucker and installed Zone Alarm Pro. It's more customizable and easier to configure. MUCH tighter program access control.
If some nasty bit of code somehow found its way into my machine, ZA would immediately let me know something hinkey was going on and where it was coming from. After that, it's just a matter of hunting down the wee beastie and killing it.
You might want to look into customizing the security settings on your router, if you haven't already.
I thought I was pretty secure, although port 80 is forwarded and so are a couple of others (remote desktop); however, I now firmly believe that IE is the problem. I have been using Firefox for months, no real problems, a couple of "cookie monster" attacks - easily picked up by Norton. But I had it set with 5 tabs and didn't want to wait for them to load so I clicked IE and bammo. I am removing IE from the tray so I am not even tempted to use it.