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 Business or Ultimate, 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. Windows after a fresh install is quite bloated and has a lot of places for an attacker to poke at.
Also you should seriously consider running it daily using a limited/standard 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.
Together with running as a standard user, enable Software Restriction. That would leave malware a really limited attack space. Should your standard user account come under attack, all you have to do is create a new account and migrate your documents and photos to the new account and wipe the old account.
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.