I've started to see an increasing amount of threads here with people getting infected with various viruses, getting hacked etc. This is in 99.9% of cases due to carelessness and/or ignorance. In this day and age, you have a responsibity to keep you computer from getting hacked and used in attacks towards other computers. I equal this to careless or drunk driving, only that people fortunately don't die from it (yet).
So here goes my quick and dirty guide to securing your computer.
1. Get a firewall
2. Get an antivirus program
(Nod32, which I linked to there, is very small, fast, cheap, and updates totally automatically)
3. Set windows to download updates automatically
Control Panel -> System -> Automatic updates
Check the checkbox, and tick the second or the third radiobutton.
This will be available if you are running Win2000 (latest Service Pack) or Windows XP. If you don't have the latest service pack for 2000, get it NOW. If you run Windows 98 or ME, don't run Windows 98 or ME. You can also go to Windows Update on a regular basis.