Peer Guardian is an open source tool which blocks incoming and outgoing connections from known IPs of Entertainment companies, Software Developers, Goverment Instuitions, advertising etc...
Its one of best free tools to protect yourself, not saying its bullet proof but good to have none the less:
http://phoenixlabs.org/pg2/
You can easily disable it, if it prevents you from going onto sites like microsoft etc.... when you need to.