Go into your System Preferences, and then in the 'Internet and Network' section click on 'Sharing'
In the 'services' section make sure everything is off.
Go into the 'Firewall' section and make sure it says 'Firewall On'
If it says 'Firewall Off' there should be a button labelled 'Start'. Click that, and it should then change to say 'Firewall On'.
In the list of things below that make sure everything is off.
That should be OK.