The important thing to understand is what connections the firewall permits inbound and outbound.
Ideally, you don't want anything open inbound (i.e no-one should be able to connect directly to your PC from the net) but ICMP ping isn't risky in itself. ICMP ping will allow anyone on the Internet to find out that your PC is online, subsequently, they might try to exploit other vunerabilities.
Currently, M$ (microsoft) release their security updates every month around the 15th - keep a check on the Windows update site.
Note Kazaa and Skype require you to allow inbound connections as they are peer-to-peer (P2P) applications. There's a big risk that you could let a lot of garbage in via those doors.
Outbound connections should be locked down to those protocol/TCP port destinations you need access to: dns, http/80 and https/443, ftp/21 (UDP and TCP), pop3/110 and smtp/25 for email and whatever for IM (don't use it so don't know the ports).
WinXP SP2 will make Norton and other firewalls redundant when it's released (next month) - WinXP Internet Connection Firewall has been re-vamped, will be enabled by default & all unnecessary services are disabled by default.
