erm, firewalls don't stop viruses, viruses don't just send themselves to your system (only 3 ways that can possibly happen, none of which apply to a standard system with no firewall etc)
most of them come from using IE to visit "dodgy sites" (crack sites, and erm other sites), however a handful can come from downloading them from p2p clients, but those are normally obvious... who would download a copy of windows that was 100k for example?
there shouldn't be any reason that winmx or the patch would have any effect on windows explorer, could it have just been bad timing? although i guess if it's sorted itself out then that's all anyone can hope for....