“Incoming Connections” ??

Recently on my home computer Win2kSP4 I noticed an “Incoming connections” link in the Start/Settings menu. I realize there is such a connection used for remote computer management and or VPN. I had not set up either. Does anyone know how this got installed on my program menu?
Was it when I installed the SP4 Tools?
Though I might have Backdoor Trojan so ran very thorough McAfee with sdat4300 and found nothing.
I did have Zonealarm 4, but uninstalled it when I had a bad Windows Update, could it be from that?