Many of us would be of the opinion that you firewall would protect you from the ugly world. But this might not be the case. Even though your firewall works fine when you have logged in, it might not work when you have logged off.
Intruders can access a powered on machine with a login screen, even though you have logged off.
A simple test to start with can be:
1) Note down the ip address of your machine, using command prompt in windows.
2) Log Off
3) From some other machine, other than this try to ping this machine. If its possible to ping this machine with a firewall ON, then your firewall sucks. Its time to get our money back.