Are you running Windows XP? If so, you'll want to check to see if it is on.
Right click on your network connection and select properties then click on advanced tab. If it's on, you'll see it there.
Unless of course you have other software based firewalls such as Zone, etc...
If that doesnt fly, then you might consider using MSCONFIG to toggle off software apps at startup.
Hope it helps,
-Goz