If you don't use any firewall - then start using one (Zone Alarm, Kerio,
Agnitum Otpost or any other).
If you don't have an antivirus - use one (here is for example a free one http://www.free-av.com) and keep it up to date.
Also - keep the system up to date (I mean the service packs and patches).
And the best way to clean the system (in case of having one of 2000/XP/2003)
is to start it in the Safe mode (F8 during boot-up), run Windows Explorer,
go to your profile temporary folders (usually C:\Documents and
Settings\username\local settings\temp and c:\....\local settings\Temporary
Internet Files\Content.IE5) and delete all the files in those directories
and subdirectories.
Then do a full system scan with MS AntiSpyware (check the proper option
under Scan settings) and other cleaning applications.