I've got Outpost as a firewall, Sophos as an AV and am running WINME with all the latest security patches. However, I clicked on a dubious email today and it prompted Outpost to ask me to create a new rule for Outlook Express as it needed an outgoing connection to Remote Service: TCP:27223 and remote address: computercup.com.

Any ideas what causing this, because I would imagine ithers who don't have a firewall would end up being connected to this website without them knowing it.

Any thoughts?

I've found a couple references to computercup.com, one on a spammer's list showing it belongs to a Richard Harris in Dallas.

Another, a posting from UK that talks a little about this email.

Yet another posting regarding someone else with this email, and their findings on an attempt to be removed from their list.

The link for removal is obviously bogus. There are vulnerabilities that allow scripts to run that will set up these 'nasties' without your knowledge. One of the best defenses is to keep VB Scripting turned off on your system. Not much uses it these days except those that try to infest your system. An easy way to toggle this scripting on and off is shown HERE.

One of the first rules of spam messages is to never do what a spam message asks you to do.
If you were to add that message rule, you might find you receive a nasty in a few days time that looks for the rule. The spammer will know then that not only have you read their message, but you've also done what it asked. This can be extremely dangerous, and they'll know your system's security can be easily compromised.
I must confess to not having seen the e-mail to which you refer, but it's a well-known fact that "click here to unsubscribe" usually means "click here to subscribe me to even more spam". Look in the status bar while mousing over unsubscribe links and you'll usually see a link followed by a string of seemingly random letters and numbers. Chances are, this is your e-mail address in an encrypted format so they know it's you who has followed the link!!
Best just to delete the e-mail from your Inbox and your Deleted Items folder.
I hope you read the message offline as well .... many spam messages contain "web-bugs" - invisible images that link back to the host's site that lets them know you've seen the message, but this can only work if you have an Internet connection open. Turn the Preview Pane off as well.
Hope this helps.