Security is a wide topic. If you browse aound on this forum, you will find recomendations on Anti Virus and Anti Spyware and Firewalls.
If you have Windows XP Professional, MS published an XP Security Guide v2 and tells you how to harden XP Pro. It is available here:
http://www.microsoft.com/technet/sec...fault.mspx#ETE
If you have Vista, there is a Vista version of the Security Guide:
http://www.microsoft.com/downloads/d...displaylang=en
Hardening an OS gives the attacker a smaller attack surface by disabling unnecessary features. XP after a fresh install is quite bloated and has a lot of places for an attacker to poke at.
Also you should consider running it daily using a limited user account, as that prevents some malware from working and prevents malware from making system wide changes. In the Unix world, nobody runs a machine daily using the admin account. MS acknowledges that and has made UAC for Vista to achieve the same end.
Here's more details about that:
http://www.mechbgon.com/build/security2.html
Also along the lines of protection and prevention, use Mcafee's Site Advisor, available here:
http://www.siteadvisor.com/
It places a site rating besides every google result and tells you about malware infested sites before you go clicking on them and instantly infecting your machine.