Allow me to clarify the situation if I may.....

Definitions:-

Trojan: A trojan is a piece of software that purports to do something usefull or entertaining while, (whether it is useful or entertaining as well), does something harmful.

Backdoor: A backdoor is a program that quietly listens on the internet for someone to connect to it. Once they do they usually have the rights to do anything they like to the backdoored computer.

You may receive a trojan in any number of ways, (email, chat programs, downloads, kazaa and other P2P crap, (sorry, editorializing.... ), and in many cases the Trojan opens a backdoor on your computer. Backdoors come in many flavors, (thousands), but the best know are SubSeven and backOrifice

From time to time bored script kiddies will scan entire subnets of the internet looking for computers that have a particular backdoor open and will then connect to them in order to have their twisted fun.

The Firewall companies are dumbasses. When their firewall reports that it has successfully blocked and logged a scan for a particular backdoor they report an attack by a trojan or something equally incorrect, confusing and stupid. Thier alert should read something like this:-

Tiger Sharks Superior Firewall User Friendly Alert
*****************************************

Tiger Sharks Superior, (not to mention user friendly), Firewall just detected an attempt
to connect to your computer trying to find the backdoor:-

SubSeven

Tiger Sharks Superior, (not to mention user friendly), Firewall blocked this attempt.

Even if your computer were to be infected with the backdoor:-

SubSeven

the attacker at luser.user.lamebrain.com was unable to determine any possible infection
and is no wiser today that the day he was born.

Thank you for your attention, you are now safe to go back to your beer and porn
So.... When your firewall tells you that you are being attacked from the outside you actually have nothing to worry about. You need to worry when it tells you it blocked something going outbound or if it stops telling you things......