The "Disable" tab is just a software switch that allows or disallows your NIC to function. It comes in handy if you have more than one NIC for your computer and only want one used at a time.
Personally I have had my cable modem on since '97, expect for moving, black outs, and hardware upgrades. Although it is possible I do not feel it needs to be an essential device to be detached either by unplugging the Cat5 or power.
Having your firmware up to date and the router properly configured, along with a software firewall (Not the XP firewall) would be a better approach. Even if you unplug the modem\router\NIC you should consider a software firewall a must have security tool.
There are many suggestion but to answer your question it will not hurt to use the disable tab in Windows according to Microsoft.Using local area connections
If you disable your local area connection, the connection is no longer automatically activated. Because your hardware profile remembers this, it accommodates your location-based needs as a mobile user. For example, if you travel to a remote sales office and use a separate hardware profile for that location that does not enable your local area connection, you do not waste time waiting for your network adapter to time out. The adapter does not even try to connect.