curious about a security issue with images from "j-sig.com"

I am new here so not totally sure if this is the right place to post this or if this topic has been discussed in the past, but I didnt find anything about it in the search I did. if I did post this wrongly pls understand it was a mistake and pls move it to where it should be.
anyhow I was reading through another forum last night when i came across an image attached to one of the posts located here http://www.jdennis.net/forums/viewtopic.php?t=8300
its in the post by "somebody509"
in this .png file i think it was, it listed info about ISP, my ip address, my os, my browser info and what port FF was using at the time aswell so i closed the page and used the "switch proxy" and the "user agent switcher" extensions from FF and went back to the thread but it still read all my info just the same even with an anonymous sever proxy that fools ip chicken.com all the time so i was curious as to how this is possible so i went to the image source site www.j-sig.com and apparently the image makes some kind of connection to my pc using http on random ports and collects this data then transfers it to the j-sig servers and to a client program. what i am worried about is can this be used to comprimise my pc and how can i block these type of connections in the future beside blocking images from j-sig.com in FF, blocking the j-sig sever ip in my firewall, i also setup a filtering rule in my firewall so that none of my web browsers can connect to the domain j-sig.com (outbound and inbound), is that enough? or am i still sending the info but i just cant see it now cause im blocking the images? should i be worried about my info being sent to a 3rd party? another thing that bothers me is this info was gained easily and didnt set off any alerts in my firewall or anything. i am running mcafee virusScan/firewall,ad-aware,spybot and spywareBlaster all up to date on win XP up to date also, cable internet connection with linksys router NAT enabled. thanks for any suggestions or info

 

thanks low water mark and spanner for the quick replys, info and advice.