Anyone familiar with winsweep? (www.winsweep.net) Among other things, it offers anonymous browsing/email. In anonymous mode, however, grc shows various ports are open (ftp, http, https, etc.) that are closed when the anonymous mode is not active (using sygate) . Since the anonymous connection is going through a proxy, I'm guessing that this is ok. Is it?
Sygate can not handle proxy, you can try and take away server rights from Winsweep and see how it works or switch to another firewall.