I have one of these myself, attached to my NTL cable modem. I've also noticed that the activity lights seem to blink all the time, so it would appear to be normal behaviour.
With regard to security, I'm under the impression that unless you specifically open some of the ports in the router's admin interface then you should be pretty much safe from port-scanning type attacks (though obviously not from email ones!). If I'm mistaken, I hope someone will jump in here..!
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Bryan.