It's all been covered pretty well already, but in essence what you are seeing is the network equivalent of somebody walking down the street trying car doorhandles for one that's unlocked. If they find the car is locked, they move straight on to the next. Outrageous though this behaviour is, it's probably safe to just ignore it.
If some body is "after" you in particular, or has just picked your system at random for a challenge, then either (1) all the bells and klaxons should go off on your firewall and you can choose disconnect temporarily (or whatever); or (b) they are too good for your "firewall" in which case it's probably already too late
Like Richard, I'm personally in favour of dedicated hardware firewalls, or at least running software firewalls on PCs that are specifically cut-down and hardend for that specific purpose.
A software firewall running on a general-purpose computer is about as secure as the weakest point in that general purpose computer's operating system... :-(
If you have a spare lowly-spec PC lying around you might want to have a play with:-
Smoothwall
or
IPCop
for starters