Yesterday, Chris Pirillo made a comment in one of his posts:
And if you think you’re already completely protected in Windows with its default tools, think again. This morning, after months of regular Firefox use, I get this security warning from the Windows Vista Firewall. Again, this was far from the first time I had used Firefox on this installation of Windows. Not only is the dialog ambiguous, it’s here too late.
I replied in a comment on his blog:
The reason that the Windows firewall hasn’t warned you about FF’s accessing the net is that up until this morning, all of it’s attempts have been outbound. But for some reason, this morning, it decided that it wanted to receive data from the internet.
The firewall is doing exactly what it’s supposed to do - it’s stopping FF from listening for an inbound connection (which a web browser probably shouldn’t do) and it’s asking you if it’s ok.
Why has your copy of firefox suddenly decided to start receiving data over the net when you didn’t ask it to?
Chris responded in email:
Because I started to play XM Radio? *shrug*
My response to him (which I realized could be a post in itself - for some reason, whenever I respond to Chris in email, I end up writing many hundred word essays):
Could be - so in this case, the firewall is telling you (correctly) exactly what happened.
That's what firewalls do.
Firefox HAS the ability to open the ports it needs when it installs (as does whatever plugin you're using to play XM radio (I documented the APIs for doing that on my blog about 3 years ago, the current versions of the APIs are easier to use than the ones I used)), but for whatever reason it CHOSE not to do so and instead decided that the correct user experience was to prompt the user when downloading.
This was a choice made by the developers of Firefox and/or the developer of XM radio plugin - either by design, ignorance, schedule pressure or just plain laziness, I honestly don't know (btw, if you're using the WMP FF plugin to play from XM, my comment still stands - I don't know if this was a conscious decision or not).
Blaming the firewall (or Vista) for this is pointless (with a caveat below).
The point of the firewall is to alert you that an application is using the internet in a way that's unexpected and ask you if it makes sense. You, the user, know that you've started playing audio from XM, so you, the user expect that it's reasonable that Firefox start receiving traffic from the internet. But the firewall can't know what you did (and if it was able to figure it out, the system would be so hideously slow that you'd be ranting on and on about how performance sucks).
Every time someone opens an inbound port in the firewall, they add another opportunity for malware to attack their system. The firewall is just letting the user know about it. And maybe, just maybe, the behavior that's being described might get the user to realize that malware has infected their machine and they'll repair it.
In your case, the system was doing you a favor. It was a false positive, yes, but that's because you're a reasonably intelligent person. My wife does ad-hoc tech support for a friend who isn't, and the anti-malware stuff in Windows (particularly Windows Defender) has saved the friends bacon at least three times this year alone.
On the other hand, you DO have a valid point: The dialog that was displayed by the firewall didn't give you enough information about what was happening. I believe that this is because you were operating under the belief that the Windows firewall was both an inbound and outbound firewall. The Windows Vista firewall IS both, but by default it's set to allow all outbound connections (you need to configure it to block outbound connections). If you were operating under the impression that it was an outbound firewall, you'd expect it to prompt for outbound connections.
People HATE outbound firewalls because of the exact same reason you're complaining - they constantly ask people "Are you sure you want to do that?" (Yes, dagnabbit, I WANT to let Firefox access the internet, are you stupid or something?).
IMHO outbound firewalls are 100% security theater. They provide absolutely no value to customers. This has been shown time and time again (remember my comment above about applications being able to punch holes in the firewall? Malware can do the exact same thing). The only thing an outbound firewall does is piss off customers. If the Windows firewall was enabled to block outbound connections by default, I guarantee you that within minutes of that release, the malware authors would simply add code to their tools to disable it. Even if you were to somehow figure out how to block the malware from opening up outbound ports, the malware will simply hijack a process running in the context of the user that's allowed to access the web. Say... Firefox. This isn't a windows specific issue, btw - every other OS available has exactly the same issues (malware being able to inject itself into processes running in the same security context as the user running the malware).
Inbound firewalls have very real security value, as do external dedicated firewalls. I honestly believe that the main reason you've NOT seen any internet worms since 2002 is simply because XP SP2 enabled the firewall by default. There certainly have been vulnerabilities found in Windows and other products that had the ability to be turned into a worm - the fact that nobody has managed to successfully weaponize them is a testament to the excellent work done in XP SP2.
 I'm slightly overexaggerating here - there is one way in which outbound firewalls provide some level of value, and that's as a defense-in-depth measure (like ASLR or heap randomization). For instance, in Vista, every built-in service (and 3rd party services if they want to take the time to opt-in) defines a set of rules which describes the networking behaviors of the service (I accept inbound connections on UDP from port <foo>, and make outbound connections to port <bar>). The firewall is pre-configured with those rules and will prevent any access to the network from those services. The outbound firewall rules make it much harder for a piece of malware to make outbound connections (especially if the service is running in a restricted account like NetworkService or LocalService). It is important to realize this is JUST Defense-in-Depth measure and CAN be worked around (like all other defense-in-depth measures).
 Others disagree with me on this point - for example, Thomas Ptacek over at Matasano wrote just yesterday: "Outbound filtering is more valuable than inbound filtering; it catches “phone-home” malware. It’s not that hard to implement, and I’m surprised Leopard doesn’t do it." And he's right, until the "phone-home" malware decides to turn off the firewall. Not surprisingly, I also disagree with him on the value of inbound filtering.
 I'm not sure how you do that while still allowing the user to open up ports - functionality being undocumented has never stopped malware authors.