SpringHeeledJack,
Ever heard of logmein or teamviewer ?
Extrapolate the theory of operation (reverse proxy) to more malicious uses and you'll soon see it is possible to gain control of a computer without needing inbound ports open.
Similarly if you look at Stuxnet and Duqu, almost anything is possible if gaining access to otherwise difficult to access networks is important to you and you've got sufficient resources behind you.
The old story goes that the only safe computer is one that's turned off and unplugged. Failing that, one that is stand-alone with no live connectivity to the outside world, and carefully monitored offline means.
On a closed network with Administrator rights you can pretty much do whatever you want.