Lockdown sucks, I couldn't think of one reason to use it. I'm a former hacker, and ex-security expert. If you want real protection, get a firewall. I highly recommend either of these:
1. Norton Internet Security 2000 (a bit hefty on price and megs, but worth it, firewall + ad blocking)
2. BlackICE Protector (VERY good firewall!!!)
3. Zonealarm (good firewall, free at zonealarm.com)
4. Conseal Firewall (does its job, nothing fancy.)
hope this helps.