The following steps are critical to protecting yourself and your computer from maliscious activity on the internet.
You should apply all Critical Updates for Windows. There is a direct link from Internet Explorer up at the top under Tools --> Windows Update. The critical updates almost always "fix" some security flaws that have been discovered.
You should an antivirus program running on your computer, such as those made by Grisoft (AVG), Symantec (Norton Antivirus), or McAfee. Having an antivirus program is important but not sufficient. You must make sure that you update the virus definition files every other day or at least weekly for the program to provide protection against new viruses.
You should have some protection from spyware. We recommend Ad-aware and Spybot Search and Destroy. You should update these programs and run a scan of your computer at least weekly with each program.
You should also activate the Windows Internet Connection Firewall. If you have Windows XP, installing Service Pack 2 can make a tremendous difference in the security of your computer.
If you have a broadband connection, you should have a router between your computer and the internet. This router serves as a very robust firewall to protect your computer from hackers.