I ran a port scan using Shields Up from www.grc.com and it indicated a failure because:

Ping Reply: RECEIVED (FAILED) Your system REPLIED to our Ping (ICMP Echo) requests, making it visible on the Internet. Most personal firewalls can be configured to block, drop, and ignore such ping requests in order to better hide systems from hackers. This is highly recommended since "Ping" is among the oldest and most common methods used to locate systems prior to further exploitation.

Is there anything I need to do about this?

I have Zone Alarm Anti-Virus