If you're talking about a message like this:
http://img715.imageshack.us/img715/3248/picture1ham.pngThat's OK. He's just giving you a warning that if anyone is sniffing your internet connection that they can monitor what you're seeing.
When you get to this page
http://www.grc.com/x/ne.dll?rh1dkyd2Click where it says "Common Ports" and let it finish running.
Hopefully you'll end up seeing something like this
http://img10.imageshack.us/img10/3794/picture2yf.png(I crossed out my IP number, but you'll see yours in that teal-colored space)
If you pass the "Common Ports" test you can try the "All Service Ports" test, which takes longer but is more thorough.
The Shields Up website probes your ports and lets you know if you have any open ports or if your ports are closed but detectable from the Internet.