Sygates a good test, it can scan in a number of different ways:
Dont forget security is TWO way, outside in AND inside out. Its pointless testing one way only if you already have nasties on your machine (think of the MSBlaster worm). Online tests are one way only>outside in.
Try these below for inside out (XP).
If on XP you type 'netstat -an' (don't forget the space before the hyphen) into the command line (RUN>(type) CMD>(type) Netstat -an). This will show you the connections to the net, and the state.
Also from a command type 'tasklist /svc' to see what services are hiding behind svchost.exe (aka Generic Host) and ensure they are legit (note svchost.exe will have more than one entry in the list). Google each if unsure what it is.
Get a good firewall that checks the loaded .dlls and informs you of any changes to your trusted apps like IE6 (Sygate Pro, Outpost Pro etc) it could save you a major headache later.
DONT allow Generic Host or scchost.exe through a firewall without first knowing what you are letting through (they are only carrier services for other apps).
Try using something like the 'Proxomitron', it can do loads to protect your online security and is also a very efficient adblocker (Google for it).
The GRC site (the Shields Up site) has some useful tools like the 'Leak Test' for testing outside in security.
And don't forget to install Adaware and Spybot.