There are a few things you can do.
1. Stop and disable the service that is listening on the port. Do this in: Start, Programs, Admin Tools, Services.
2. Filter your network interface. Do this by right-clicking "my network places" go to the properties of your Local Area Connection, Properties of TCP/IP, Advanced button, Options, Tcp/IP Filtering, Properties. You can now choose wich TCP and UPD ports are allowed, along with what IP protocols are allowed.
3. Get some other firewall to block the ports. Could be either software (ex. zonealarm), or hardware (ex, PIX, Linux, Linksys Router)