Are these pop-ups coming from the firewall application itself? If so it just means that it's something new to the firewall. Once you tell it to block them you won't see the popups again.
If the pop-ups aren't from your firewall app then your firewall isn't blocking them at all and umm.. knowing your setup I'd guess one of your neighbors is using your wireless network.
Not that someone like me would send pop-ups to someone after hacking their wireless network of course.