I agree with Tiger, a firewall is essential in this age of the Worm. Are you the only one that uses this computer? Is it part of a workgroup or a domain? Is your AV up to date? Done a complete scan for Adware and Viruses? Something caused your computer to make that connection, and until you can figure out what did, I wouldn't trust the security of it (as a matter of fact, I would trust the security of any of the systems if you don't have a firewall).