Windows Vista - Windows Firewall - Firewall FAQ - What are some of the things that a firewall can't prevent?

• E-mail viruses
E-mail viruses are attached to e-mail messages. A firewall can't determine the contents of e-mail, so it can't protect you from these types of viruses. You should use an antivirus program to scan and delete suspicious attachments from an e-mail before you open it. Even when you have an antivirus program, you should not open an e-mail attachment if you're not positive it's safe.
• Phishing scams
Phishing is a technique used to trick computer users into revealing personal or financial information, such as a bank account password. A common online phishing scam starts with an e-mail message that appears to come from a trusted source but actually directs recipients to provide information to a fraudulent website. Firewalls can't determine the contents of e-mail, so they can't protect you from this type of attack.