You'd be surprised. I run BlackIce defender and the amount of trojan and other port scans I get is quite frightening. Getting ADSL when I move into my new flat next week and this sucker's gonna be connected 24/7. That's when security gets useful.Never, ever turn on file and printer sharing if you can help it. That's tip number one.
If you do need to, get an OS that's meant to handle access security like Linux, Unix or NT/Win2k. If you do use one of these NEVER log on as Admin. Set up a user login for yourself with just enough rights to do what you need. That way if someone compromises your account they still can't manipulate a lot of admin features/settings.
Don't let windows cache your passwords. Turn off the setting in IE that stores encrypted pages on your HD if you use the internet for purchases or banking.