Generally the first line of your computer's defenses is going to be its firewall. This will prevent other computers, and malware from trying to attack it and invading your computer from over the Internet.
Windows comes with its own firewall, which will protect you from most types of attacks. If you have Windows XP SP2 (for more information about it) installed on your computer, then the firewall is enabled automatically. If not you will have to enable it manually.
The one thing that I have to note is the Windows Firewall only protects you against attacks from outside your computer. If you're computer is infected with some type of malware, the Windows firewall can't protect you.
There are 'two-way firewalls', which allows you to monitor and control traffic leaving your computer. These types of firewalls are great for finding which applications are trying to communicate with the Internet.
Also, if you have a high-speed connection (such as cable, DSL, etc.), and are using broadband router then you might have an additional layer of defense on your side. Most broadband routers include some type of hardware based firewall.
After you have your firewall setup, you need to consider your anti-virus and anti-spyware software you have installed on your computer. Anti-virus software is not enough these days to protect your computer, you also need anti-spyware software. Then after you have it installed you have to make sure you keep the application and signatures up-to-date.
Windows Internet Security Suites
Below is a list of some Windows Internet security suites that I will recommend. These software packages are designed to protect you against most types of Internet attacks (virus, worms, Trojans, etc.), plus all the tools are generally designed to be integrated together. Which unifies the user experience, and makes keeping them up-to-date easier: