I use Zone Alarm and have 127.0.0.1 listed. I also use YPops! so I can get my Yahoo! mail with Outlook Express. The only other one listed in the Trusted Zone by Zone Alarm is my wireless one. You may be using a similar program.
If you are still in doubt about it, I am sure your firewall will allow you to double/right-click on the item and change its permission. Zone Alarm persents a box to change from Trusted to Internet or Block. Even remove it.
What is 127.0.0.1?
127.0.0.1 is the standard IP address used for a loopback network connection.
This means that if you try to connect to 127.0.0.1, you are immediately looped back to your own machine.
If you telnet, ftp, etc... to 127.0.0.1, you are connected to your own machine.
In other words, 127.0.0.1 is you.
For example, if your system was named "joker", and you attempted to telnet to 127.0.0.1, you would see:
# telnet 127.0.0.1
Connected to joker
Escape character is '^]'.
Convincing newbie's to connect to 127.0.0.1 is a frequent joke on the Internet.
Another name for 127.0.0.1 is localhost.
Hope this helps.