Ok, I'm running Tiny Personal Firewall on windows 98 SE, and have it set to ask if there isn't a rule already set.
My rules are as follows:

Dial-Up Networking Application | UDP/TCP (Both ways) | Local 137-139 | Blocked
Microsoft Internet Explorer | UDP (Both) | Remote 53 | Allowed
Microsoft Internet Explorer | TCP (Out) | Remote 80 | Allowed
Microsoft Internet Explorer | TCP (Out) | Remote 443 | Allowed (Hotmail via MSN IM related iirc)
Microsoft Internet Explorer | UDP (Out) | IP 127.0.0.1 | Allowed (Norton AV pop3 related iirc)
Tiny Personal Firewall Console | UDP (Both) | Remote 53 | Allowed
Tiny Personal Firewall Engine | UDP (Both) | Remote 53 | Allowed
Messenger | UDP (Both) | Remote 53 | Allowed
Messenger | TCP (Out) | Any | Allowed
Messenger | UDP (Out) | IP 127.0.0.1 | Allowed
Outgoing ICMP | ICMP (Out) | IP 224.0.0.2 | Blocked
WS_FTP 95 | UDP (Both) | Remote 53 | Allowed
WS_FTP 95 | TCP (Both) | Remote 21 | Allowed

I often remove most rules and check that something's still trying to use them, before blocking them again, hense the few blocked ports atm

My question is: Would blocking the things I have/haven't, such things as ICMP (Pings?), have a major effect on how my connection works as a whole? Will it slow performance on my 56K, or prevent useless data flowing?