Ahh now this is my specialty...
Internet and internal network securty... I work at a web shop, and I'm responsible for maintaining the securty of my webservers in an enterprise environment - among a few other things. So I am familiar with the methods and techiques "crackers" or "script kiddies": Those that use computers on any network as a means of committing a crime or obtaining illegal information; not to be confused with the media's improper use of the term "hacker": one who uses networks with respect to those who maintain them, which most are usually system administrators or network engineers, in an effort to exploit vulerabilities for a higher level of security so those 'script kiddies' wouldn't be able to walk right into a network and damage or steal whatever the see fit...
Now with that said, while I won't argue that alot of these personal firewall programs offer a good deal of security, you can not believe everything it tells you.. Especially if its reporting that you are being attacked while you have no active network connection.
Whenever I do scans on my network, from inside the firewall and from the outside of the firewall, 60% or more of the reported vulerabilities are reported falsly.
Usually upon further investigation of these false reports, that is if you know what you're looking for, one can tell if it is a real security risk or not. So alot of the times u have to use your own judgement..
Alot also comes from logic - if u *know* u aren't connected to the internet and the security program alerts you of an attack, then its possible that another running program or the operating system itself may have caused this... some programs "use" the network interface (or modem/network card etc) by sending a network request to itself, even when there is no active network connection to a network or the internet. Normally, when you are surfing the net, and you are doing nothing more than looking at web pages, you should never see an incoming connection from an unknown source. I usually lock everything down and open things on my firewall as I need them...
Hope this helps..... -Electro