What Tiger is saying is, that with your software firewall running you can not capture the packets you want to, this is because the firewall will block them. If you put your pc in the DMZ you will not have the protection of the firewall (de-militarised-zone). So make sure windows is patched right up to the latest update.

If you would like to look at a safer way to do, what it would seem that you want to do. Look into useing a live OS, like knoppix SDT. These Os's have tools like ethereal built into them. So you can run the OS from your cd drive capture packets and analize without the worry of getting a compromised box. A live OS by the way is a operating system that runs from a bootable cd. Just pop it in the cd tray and boot to it. It will load as a proper OS but leave your installed OS alone.