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Firewalls generally use rules to control what applications are permitted to communicate through the Internet and which ones are not. This is designed to protect you and to make you aware of applications that send and receive information over the net. Most firewalls I'm aware of, including Norton, will allow you to permit a specific application (such as MSN Messenger) to access the Internet, while the firewall is still running, protecting you from other types of traffic.
In simple terms, just because you've permitted MSN Messenger to run through the firewall, your firewall is still serving a purpose, and if you followed the instructions in my previous link, the firewall is actually still "on." All you've really done is told your firewall that it's ok for MSN Messenger to access the Internet.
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