These are messages your firewall will throw up in an attempt to essentially say, "Look at what I'm doing! Aren't I special?"

Port scans are unavoidable parts of being on the Internet. There's always a few people who will attempt to gain unauthorized access to other people's computers, either for fun or profit. Port scans are an automated way of looking for an entry point. Kind of like how a robber might "case" a building they intended to rob.

For the most part, so long as you keep the number of open ports to a bare minimum, and keep up on the security updates from Microsoft, there's not a whole lot to be concerned about. However, if you've gone and poked a bunch of holes in your firewall, use file sharing programs, Internet Explorer, Outlook Express, Microsoft Office, any pirated programs or games... Your worry level should go up the more of those things you have on your system and use often.

As it stands now, it sounds like your firewall is doing its job, and blocking the suspicious activity. A lot of times these things come in waves. The Internet's underclass, ranging from social misfits to various organized crime organizations, have programs that will scan blocks of IP addresses one at a time, looking for vulnerable systems. Many times they'll go over the same block of IP addresses several times, hoping to catch a few more people each time. If the messages don't subside after a few days, chances are you've contracted something and your firewall is gumming up the works so to speak. Until such time that they subside, you're just going to have to live with it. The alternative is far worse, believe me.