Firewall protocols & traffic directions

My software firewall: McAfee Desktop Firewall 8.5.

My system: Dell MM061 laptop w/Intel Core 2 Duo; Windows XP Media Center w/SP3; all required security hotfixes are installed and anti-virus is up to date.

My problem: While I was tuning a firewall entry, I noticed several "learned" policies allowing two way traffic to/from any address using all IP protocols (see screenshot). Examples of programs with this policy are: Internet and Windows Explorer, svchost, kernel32, and Windows Defender.

My questions:

1. Is this a bad thing?

2. Could I be unwittingly teaching the firewall bad habits by allowing connections when prompted by McAfee popups?

3. Where can I find general firewall guidelines for controlling protocols and traffic flow on a home network?

Thanks for any help. Some days I feel like a complete nooblet.