Almostfamous88 would be correct. It would depend on how you have the firewall's options set. I know with the one I use, if a program tries to access the internet it asks for permission to do so. Mind you theres so many 'bugs' out there we sometimes never know for sure whats getting in or out.
Maybe use a program to clean your system of the spyware(if you think you have it) often.
You can try SpyBot Search & Destroy, get it
You can try Adaware(I'm not real sure if they are still doing updates), get it HEREHERE
Ep, glad to see you come back and tidy up...did want to ask a one day favor, I want to enhance my resume , was hoping you could make me administrator for a day, if so, take me right off since I won't be here to do anything, and don't know the slightest about the board, but it would be nice putting "served administrator osnn", if can do, THANKS