WARNING - you are broadcasting your IP
Just so we have this all cleared up, when you come across the pop-up/flashing GIF
"Your computer is not safe, it is broadcasting it's IP address to the world, click here to download <company name> firewall software now!!"
Believe it or not, you MUST share your IP address, that is your internet address, similar to your physical address, and when i mail you a letter i need to know your address, and when my computer wants to send your computer a TCP/IP packet (that's how 99% of the internet goes) i need to know it's IP. (This includes if you go to a webserver just to look, they need to know where to send the html back to)
So before another person asks me how they can protect themselves from this problem realize its not a problem, that's the way the net works. If you want to be totally safe from the outside world unplug all phone/data/lwireless devices from your computer, remove the hard drive from the case, install high-security medco locks on the door (i can give you a discount on the install, i worked for a locksmith for years), rig the room to blow if anyone enters it without the password, place guards with autoatic weapons at all the doors, and then rest easy - your are pretty safe, at least you will keep the honest people out.