I too used to get loads of messages about Port 139 when I have alerts enabled, so I have done a lot of reading up on it.
Have you got "File & Printer Sharing" enabled, as it uses Port 139. As so many people have it enabled, Port 139 is notorious as the most dangerous Port on the internet. Because so many people have it opened it is one of the first ports that hackers try to connect to. Fortunately, because it is so exposed, it is one of the Ports that all firewalls block, so as long as your firewall is advising you that a connection attempt has been blocked, I wouldn't worry about it. However, I would disable "File and Printer Sharing".