I used to get this problem all the time under XP. there appears to be many backdoors and flaws. Using the windows firewall does help, particularly is you have all the security updates and patches installed. Virus software and trojan scanners could find nothing, yet random TFTP processes would start all the time. In the end I switched to Linux and no longer run windows on any of my machines.
But definately enable the firewall and make sure to download all the security fixes with windowsupdate. Better firewall programs such as zonealarm or norton internet security are good, unless you have a lower spec machine these use quite a bit of resources.