File & Print sharing..

I have 4 PCs 3 connected to a Linksys BEFSX41 router, and 1 PC
connected to the router via a Belkin WAP. All then connect to a
Sat-Broadband Internet connection via the router.
I'm now trying to set-up my LAN to offer F&P sharing via XPs networking
wizard, and I get the following message;

"You chose to turn on F&P sharing while your computer is connected
directly to the internet. This is not recommended, because this
configuration allows anyone on the internet to see your files & use
your printer" "Are you sure you want to turn on F&P sharing"

Am I missing something? Can I not offer sharing on my LAN, without
compromising my security from external connections?

PS: Sorry for long post..