Unexpected traffic picked up with sniffer

Hi there
Please enlighten me......
I connect to the network from our network behind a firewall. We don't allow the gnutella ports through the firewall , so I'm using a dial-up connection. Out of pure interest I ran a sniffer program on my dial-up adapter while connected and noticed something that I thought very alarming.
Users on the gnet network are connecting to my ISP assigned IP address on the modem (no problem - I was expecting that), and seconds later the same user sends network traffic (TCP packets) through to my NIC IP address on the LAN (NOT expected).
Can somebody please explain this to me. I think the whole file sharing idea is brilliant and would like to continue using Limewire, but not if it is going to be a security risk for my network.