firewalls can give you a false sense of security as can just about any security measure. The truth is there is no perfect solution to protect you or anyone else that does something stupid. With more frequent occurences of "zero day exploits", attacks that come with little or no warning, comes the opportunity to have your system compromised.

Larry Osterman is a long time Microsoft employee and frequently writes about some aspect of a Microsoft product that only an insider would know. He recently posted this entry about the false sense of security that often comes with a corporate firewall. Well worth a read and while you're at it you might want to add his blog to your reader.