What was your last known malware infection ?
ESET Nod32 is the Internet Security package of ESET, therefore it should include a firewall. You disabled it's Firewall to leave the Windows Firewall enabled in its place ?
What version of Internet Explorer do you have installed ?
And I suggest you to add more plugins to stay safer online like HTTPSEverywhere, Ghostery, WOT (Web of Trust), etc.