What is the chance that i will get a virus, because i let my firewall down to run XB Connect? Is there anyway to lessen the chances?

simple, give XBconnect the access clearances it needs in your firewall.

virus: they don't come on your PC by themselves normally, however, disabling your firewall makes you significantly more vulnerable to spyware and hacker attacks.

And how do i give XB connect the access with the firewall on?

depends on what firewall it is
normally there should be some sort of program access setting on the firewall(unless yur firewall is a router-built in, just open the ports XBconnect needs in that case.