I usually just ignore Messages like that from my Firewall. The only time your eyebrows should be going up is if you get several Messages in a row involving the same outside IP, or, if looking through your Firewall log (which is good to do every now and then) you see a pattern of attempts by the same IP at the same time of day every day. Stuff like that usually means someone (or some software) is persistantly trying to get into your System. When that occurs, do a search of what ISP that IP comes from, and send that ISP an e-mail detailing what's happening.
I had someone from Pairs port scanning my System repeatedly for 2 or 3 hours strait on a couple of different days, so I tracked down the ISP and sent them an e-mail. I got a quick response back, but unfortunately the ISP apparently didn't have anyone there that could read english, so I didn't get much futher with them. But the port scanning stopped shortly after
If your firewall is 'popping up' Messages like a pop-up whenever an intrusion is detected, you can disable the pop-ops. Norton does that unless you disable it (which I did).