Where you on the Internet when this happened?
If so then it was a pop-up ad. Very - very offical looking. and they hooked you.
Once you said yes they got in. Your firewall only blocks unauthorized access. GO to http://grc.com/default.htm scroll down to ShieldsUP and follow the prompts. This web site will probe your ports for vulnerabilities and explain how unauthorized access is gained.
If you where not on the Internet and you are running XP with out SP2 then messenger is running. This is not the MSN Messenger but one use by network administrators to communicate across the Corp network. The web site I am sending you to can explain it better than I and how to disable it.
Hope this helps
I did not lose my credit card but suddenly on my screen appeared a message that I should use Spyware. How it got in through my Norton firewall I do not know but at the time had just read an article about spyware and did click as asked, It removed about 30 cookies and after that I had trouble with my email - I asked them how they got in but they declined to reply and now are deleted as far as I know from my machine.
Maybe this will give someone who knows about these thigs a clue as to how they achieve it.