Actually I remember getting a window pop up once saying a similar type thing about being hacked, but it wasn't when I was using LW it was when I was installing a free online game for my son..
I dont use Norton either, needless to say It was enough to make me panic and I downloaded the free trial of Edwido....

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If you dont live for something...
You die for nothing...

If you are getting pop-up messages then it is most likely not added to the firewall and the firewall is actually stated that unknown user is trying to attempt to access your computer, I would check firewall settings. I would also like to make a point that if you have more than one firewall to disable one, as they both cancel each other out, and makes your computer absolutely vulnerable.

If you check your firewall settings and everything seems ok, I would then use spybot and check for spyware, however if you have the latest version of Norton Internet Security you won't really need it as it detects malware as well as viruses etc etc.