TER General Board
Don't run the your computer as an admin.
Set up limited accounts for yourself and anyone else that uses the machine, and only log into the admin account when you absolutely have to, to do installs etc.
With a limited account you can't install anything on purpose or accidentally.
So even if someone did send you a email with an installer, you wouldn't have the permissions required for it to install.
If someone wanted to physically install it, if none of the accounts they have access to, including trying to do it theough your personal account, again, not allowed.
Also, don't open email attachments.
That is rule one for avoiding all kinds of nasty things.
I am not sure how they can make the claim of installing remotely through a firewall, unless they somehow make it look like your email client, or another application is what is accessing, and that would have already been given permission to access the internet, or try and "piggyback" on something you have allowed, most software firewalls ask about access on a per application basis, and a good software firewall will alert if the application information has changed since you last gave permission so spoofing another app wouldn't work in that case.
If it is just through a router and Hardware firewall, I guess they could use the ports that are already open, like 80, to do the install.
Me I always go with the "belt and suspenders" approach to firewalls, hardware and software. 
To stop something like this...don't open email attachments (especially not exe.s -and always set your folder options to "show extensions for known file types, this keeps anyone from sending a "nekkid.jpg.exe" where it then looks like Nekkid.jpg, so you don't know it is actually an exe, if the file type is shown you will know what you are getting) and log into a limited account for all your general computing stuff and only log into admin acoounts for admin type stuff.
To set the show extensions:
open "My Computer"
Click on "Tools"
Go to "Folder Option"
"View" tab
scroll down and remove the check from the
"Hide extensions for known file types" check box,
click "OK"