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liquidlight - There are a lot of good software firewalls out there; they give you much better control over outgoing connections then a typical NAT or SPI firewall. I personally use a router with SPI built-in, in addition to a software firewall running on my local machine. The two in combination is pretty much the best protection you can get.
In terms of the Windows firewall, though, it is absolute garbage; it's basically just a packet filter.
Also, this is not an AV issue; AVG and any other anti-virus I've seen have their own alert boxes and don't use XP-style ones.
On to the issue at hand, the problem is definitely to do with the security centre (man, do I hate the Microsoft philosophy of protecting users from themselves...). To disable the alerts (and file blocking), do the following :
Open up the Security Center in your Control Panel.
Click the button under Resources labelled "Change the way Security Center alerts me".
In the Alert Settings box, remove the check marks. I'd say just take them all out, given that you have third party security solutions running.
After that, you should be golden.
I've never heard of malicious content being stored in an mp3 file.. it's just a container file, it can't be used to run code on your system or anything. Then again, Microsoft isn't often logical about these things.. that's why you'll only get me to upgrade to XP when you pry my copy of 2k from my cold, dead hands.
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I wake up in the morning more tired than before I slept
I get through cryin' and I'm sadder than before I wept
I get through thinkin' now, and the thoughts have left my head
I get through speakin' and I can't remember, not a word that I said
- Ben Harper, Show Me A Little Shame
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