First what kind of firewall were you using? Trash it and get another. KIS7 or Comodo is about the best, ZoneAlarm Pro is good but is a resource hog. You should also use a router with a built-in hardware firewall.

Turn off File and Printer Sharing and make sure no folders are shared. That's not needed on a typical desktop PC.

I don't know how it would be possible to find out what was copied. Frankly I'm a bit shocked that something like this could even happen. You could check your firewall logs and look at the activity for that time and data transfered and possibly find the IP.

Obviously, scan your PC with a GOOD AV program, and SpyBot, AdAware, SpyWare Terminator, and all the rest. You could have a Trojan or other malware infections.

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God Bless
-Clint