Shoutbox

Yes, but as long as there's nothing actually listening on that port you're not vulnerable to attack. (Unless there's a major bug in the underlying OS handling of ports, but there doesn't appear to be one in Windows).

If you already have a trojan, then yeah, that's going to open a port somewhere, but under normal circumstances you'll be safe.

Take a look here (with and without a firewall):
http://scan.sygate.com/quickscan.html

Even with just the Windows Firewall, the only open port I have is ICMP.