Hi Jimi & welcome to our info packed forums.

Don't worry, CPIL is not really trying to connect all the time. Within the CPIL suite there a few methods of testing. But, once run they do leave their injected DLL attached to explorer. So, your firewall is just warning you of its presence. A simple reboot will resolve that. After that you can just delete it if you want.
What were you doing? You were testing your firewall. You didn't do anything wrong.
BTW Which firewall do you have?