It is ok to run on low security but you will not be notified on what is connecting out from your computer. I reccomend training mode. You will get some pop up warnings at first but after awhile you will not get them. Just remember to check the box create rule. Also the Kaspersky Forum is very helpfull for any questions you may have. If you run in low security your firewall is like the windows firewall,you have no outbound protection.
I think Motherroad summed it all up pretty well... by the way, here's the link for Kaspersky's forum: http://forum.kaspersky.com
