I used to use Sygate (I now use outpost firewall) with both winME and XP. I have done both, allowing and not allowing and have not had a problem either way. This is a paste of something I found awhile ago when I was looking into the subject.
Products:
Sygate® Personal Firewall
Sygate® Personal Firewall Pro
Operating systems:
All supported operating systems.
Details:
As a rule, if you are unsure about any application you should not allow it to access the Internet. Only the applications that you specifically know what they are should be allowed. Under most cases blocking the windows kernel should not create a problem. However, in some rare instances certain Internet Service Providers (ISP) will send you an ICMP message to verify that you are online and blocking this may cause them to turn off the service. If this happens, simply enable ICMP using the Advanced Rule editor.
To do this open Sygate® Personal Firewall and click on the Tools menu and then on Advanced Rules. You may have to click OK on a warning message before entering the Advanced Rule Editor.
Once you are in the Advanced Rule Editor click Add, this will cause a new rule to come up. Give the new rule a name, such as "Allow ICMP", and click on Allow this traffic option.
Then click on the Ports and Protocols tab and select the ICMP option. Enable Echo Reply - 0 and Echo Request - 8.
Then click OK to add in that rule, and then click OK to exit the Advanced Rule Editor.
From HERE