Mike
I don't use Sygate myself so I can't advise you on it but I do use Norton Personal Firewall 2003 and I have found that firewalls are complex beasts. To get the best from them you first must read the manual, downloadable from the manufacturers web site, and, if required, check out a forum that deals with firewalls, like CastleCops (formerly Computer Cops):
http://castlecops.com/forum2.html
The one piece of advice I can give is to install PeerGuardian 2 (beta 5) on your PC. PeerGuardian stops a range of 848,778,337 IPs, updated daily, from accessing your PC. With PeerGuardian and a properly configured firewall your PC should be safe.
UK Bob