Firewall alert messages are a response to unrequested traffic. These alerts are often classified by the network Port they arrive on and allow you to see the activity of what is happening on your firewall and for the firewall to notify you in various ways about possible penetration attempts on your computer. It is not unusal for a firewall to give numerous alerts regarding attempted access. Infected machines scour the net and randomly scan a block of IP addresses, looking for vulnerable ports and make repeated attempts to gain access. As buddy215 said, your firewall is doing its job (blocking) and alerting you about these intrusion attempts.
If the alerts become too annoying, you should be able to go into your firewall settings and turn them off.
The MSSQL worm (aka: SQL Slammer/Helkern/Sapphire) exploits vulnerabilities in Microsoft SQL 2000 servers and only affects unpatched systems (SQL servers not running SP3 for Microsoft SQL Server Desktop Engine). See Microsoft Security Bulletin MS02-039