It's often people 'rattling doorknobs' looking for vulnerable ports to gain access to your PC. If Bullguard blocks them then you should be ok.
There's an online port scanner here which you can use to check for vulnerabilities.
Is there anyone likely to be using your network to share the internet connection who might be running a port scanner, to test system security, or just out of curiousity?
If you're using a router, wireless or otherwise, many of them (e.g. my BT HomeHub) have a firewall built in which should be set to active. E.g. on the BT HomeHub, standard setting will allow all outgoing connections and block all incoming traffic to the property. Game and Application sharing is allowed by the firewall, but commonly used gaming ports might be the target for this port-scanning activity.
If your router's firewall is active, and you're still getting port scan warnings, it may be worth checking to see if anouther machine in the household has become infected by a port-scanning virus.