Use the firewalls, I run a Software firewall on my laptop (sygate), and the windows firewalls on my home machines. I also have a router that does NAT, while NAT is not a true firewall, it does a great job of keeping out un-expected connections. I always leave my Virus scans and Firewalls inplace when install a program, My opinion is if the program cannot be installed with some sane rules, ie telling the fire wall to allow the program to access the web, then it probably is not a quality program and should not be run. (there are some exceptions like network sniffers, and some security tools)
-- Tim Krabec