what type of firewall are you running ?
If you are running proxy/application firewalls (such as Norton Pers. Firewall, ZoneAlarm, ...), then you sometimes might get these warnings because of returning traffic...
Statefull inspection firewalls (such as BlackICE, ...) remember the state of existing connections...
If you block all alerts, you might be blocking legitimate traffic if you don't know where the traffic is really coming from ...
For example: was the inbound connection set up from outside to inside (initial SYN came in from the outside);
or is it part of traffic going out first (SYN came from inside, to outside)
Also, when your client computer connects to a server, it will connect to the server port, but it will use a local random free port higher than 1024
When your firewall alerts you, it presents you the port number. It tries to map the name of the application or protocol to the port... but in fact, it is a client port and not a server port, so it become confusing for the user.
My advice : use a stateful inspection firewall,
block ALL incoming traffic originated from the outside
and only allow outbound traffic, only on the ports you need
(http tcp/80, http tcp/443, ftp tcp/21 udp/20, dns udp/32 should be enough to surf on the internet. If you want to send & receive mail : pop3 tcp/110, smtp tcp/25)
good luck
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