I was going to start surifng more etc using Ubuntu live, but then I started to think. 
I assume I would be surfing without a software firewall (I do have a router firewall)
I would be surfing with AV appliactions, no spyware blaster etc. surfing el flagrante so to speak.
I realize they couldnt get at my Ubuntu OS, but could the bad guys put stuff on my hardrive to mess up IE, or XP or ???
Should I worry? Anyone ever had problems along these lines?
Concerned,
EMCguy

So I'm assuming you meant you're worried about the security on Ubuntu live.
I've never used it, but I've used knoppix. And if ubuntu is anything like knoppix, it shouldn't have many services running at boot, plus you have a hardware firewall (That means dont worry about iptables).
Now as far as bad guys putting bad stuff on your hard drive, I doubt it, but if you are seriously worried about that you could unmount your hard drive.
I'd put my money on browsing with stock ubuntu live being more secure than browsing with secured XP.