Anyone who has a firewall and is connected to the net for any length of time will get these alerts. I also run all the software you list (inc Kazaalite) and even on my dialup connection, usually get an alert (typically a subseven) within 10 or 15 minutes. These alerts do not mean you have the trojan horse, just that scum using port scanners are looking for PC's infected with the program. The alert is just showing it (the firewall) has 'bounced' the scan, so even if your pc did have the trojan horse, the intruder would'nt get anywhere near it.
Rest assured, if you have all that protection, and you keep it up to date, you really should not have a problem.
The outbound traffic you are noticing could be just small packets of data being sent upstream (normal activity), or running programs attempting to update themselves.
Tim