Check your PIX config, does it have `FIXUP PROTOCOL RTSP' enabled.
If so that is providing support for multimedia applications that open up UDP and/or TCP connections into your network in response to an internal users request.
If your not using any other multimedia applications you could try disable this support, `NO FIXUP PROTOCOL RTSP'
If you have a need for multimedia then you may have to try and block specific ports using access-lists.