If you have a router (or a modem that functions as a router), you are not scanning your computer with Shields Up!, PC Flank, or any other online port scanner. That’s item #1.
Item #2 is that the online scanners are not the best indicator of security, and you will frequently see different results on each, sometimes even without changing your setup, you’ll see differing results on the same test site!
If you installed CPF on “Automatic” and did not change the default-created Network rules before doing GRC, then you are fully stealthed. However, even if you took a router out of the loop and went straight to the internet, I wouldn’t depend on GRC’s results. That’s why I mentioned the last rule in the list, the Block & Log All rule; by default it is set for Any IP Protocol, which would include the ICMP, and why I said that if you create the specific Block rule for ICMP Echo Request and get the same results, you know the results are bogus.
A much better test is to use something like SuperScan 4, which is a resident scanner tool. It’s free, and can be downloaded here: http://www.foundstone.com/resources/proddesc/superscan.htm. After you install and run it, you’ll want to scan 127.0.0.1, which is your localhost. This scans your computer, at your computer. If you see any open ports with that, it’s your computer rather than your firewall, and there are other tools that can be used to track down what application is holding the port open.
The other thing is, if you’re using a router, then yes, that’s what giving you the negative results from GRC. You will need to access your router’s setup (using the manufacturer’s instructions on doing so), and reconfigure it to block/drop the ICMP echo request. While you’re in there, I’d recommend changing the default password to something a little more secure (since it’s usually “Administrator”)… If you see a lot of things you want to change in the router setup, I recommend making one change at a time, to limit the possibility of blocking things you need; it’s easier to reverse the changes that way, since you know exactly what is at fault…
Hope that helps you out; if you have any more questions, need clarification, etc, just ask!