This isn't necessarily a problem and you have one of the tools necessary to deal with it. ZoneAlarm is a similar, and very effective product. But if you really want security get a little switch - mine is made by LinkSys and Belden makes a good one too - that does IP address switching and allows you to turn ports on and off manually as well as have them automatically blocked by a software product such as the ones mentioned.
There's a very great deal of this going around - sometimes it's just a random ping, sometimes (especially if you start seeing it repeatedly from the same source) it's actually a breakin attempt. If your ISP uses DHCP to give you a different IP address every time you connect (most do) then you're only vulnerable for that session at that address.
If you're running a home network you might consider assigning your own addresses within it using "non-routable" addresses, and switching addys at the switch or router level. If you already know about this stuff forgive me for patronizing...if not, FReemail me.
Read post #9 and read between the lines.