"Indetectables.net" GUY passed my FIREWALL!!

[triplethex]

Okay today when i was checking my Computer I notice that it acting up (Which was really strange..). So i went to to CMD and type "netstat -an" to view all my connections and i notice my computer was connected to 202.30.1.233 through port 27034 which is the IP of some hacker named "demonio666VIP" and i find it so funny because this guy is from a Spanish or Spanglish Forum which is called "Indetectables.net" (its a forum where they make Trojans, virus, malware and make malicious software that they use for hacking but the other people that download this stuff don't know that its full of virus when they download this software.. ) but he left so many traces of his actions on my computer(so much for "Indetectable"). The thing that i don't really understand is how he was able to to run a a process called "clpe3ps.exe.exe" from my computer. It was probably a Remote Control Program. Well i send a copy to ESET to check it out and i delete it(which obviously sends it to my recycle bin) then i empty my recycle bin. I did a scan with ESET and everything was good. I just want to know how he passed my firewall and what can i do for more protection against people that just don't have anything better to do but to hack for fun and because for them its a Challenge...blah blah ("Crackers this days") and protect other people from this "demonio666VIP" guy. Any suggestion Comments. Thanks