In order for you to be able to communicate with a website, your browser sends a request for information to a the web server. This request must at least include your IP address (so that the server/internet knows where to send the information you requested) and which page you are requesting. There are other, optional settings that allow the server to send you a page that is optimized for your computer, like operating system and browser. In the case of your ISP, that can be guessed by looking at your IP address. Some servers (like the one you were looking at) have an option to display this information back to you. It is not a worm it is normal.
If you use FireFox as your web browser, you can change these optional settings (maybe you do not want any information sent) by going to the address "about:config"; it is also possible to do this somewhere in the control panel for IE, but I cannot find that right now... sorry. If you do not want your IP address going to a server, you can read up on how to use a proxy server, but i personally doubt it is worth the effort.
Also, you need a firewall for your system, even if you are behind a firmware firewall in your router. It sounds like that firewall has very few configuration options, which is never a good thing. I am sure it does some good, but a layered defense in depth is the way to go.
Good Luck!
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