Linksys E3000 firewall does't seem to work AT ALL

I've had zero problems with this router using it for my home, combination wired / wireless LAN. All computers are Windows XP SP2 Home. However, for the firewall I must be doing something wrong. I did not use the supplied CD, I manually set everything up from a browser window. When I use the port probe service at GRC.com, it shows four ports "open." The ports that are open are 21, 22, 23, and 80. The ports that are "stealth" are 135, 139, and 445. All other ports are "closed." In addition, I am able to ping my home IP from work.

If I disconnect my LAN from the router and plug my broadband (WISP) directly into one of my computers, I get the SAME exact port probe test results!

At work I have Comcast cable, using their supplied Motorola router. If I do the same port probe test from GRC.com, it shows every port as "stealth," plus it does not respond to being pinged.

Shouldn't the E3000 stealth every port and not return pings? Thanks!