If you run anti-malware scanners, a firewall and keep your OS and applications updated, you're going to be able to protect yourself from most types of infections that can attack your system. To help make your system more secure, consider running the Microsoft Baseline Security Analyzer (MBSA).
The MBSA is a free standalone vulnerability assessment tool that can scan your Windows systems to identify common security mis-configurations and missing security updates. The MBSA also includes a graphical and command line interface that can perform scans on local or remote systems.
This version of MBSA works on Windows Server 2003, 2000, and XP systems. It also supports the following Microsoft technologies: Internet Information Server (IIS) (v4.0-6.0), SQL Server (v7.0, 2000), Internet Explorer (IE) (5.01 and later), and Office (v2000, 2002 and 2003).