If your running Windows XP, make sure you have windows update running so your computer will start downloading the service pack. Check here for instructions. I've been waiting for this to be publicly released for several months.
I'd hate to work the phones at Microsoft over the next few months. I'm sure they'll be swamped. It'll be interesting to see how long XPSP2 can withstand attack by hackers. Some give it a month or two until the first vulnerabilities are exposed... Well have to see. I think that Microsoft has raised the bar but the fight continues. The wholes in IE that are addressed by the service pack are crucial.
I do recommend that everyone should periodically audit the firewall exception list. To briefly explain, many applications have to access the internet to function, such as MSN messenger. The first time the application attempts to use the internet, you are asked by the firewall if you wish to permit it. I expect virus to exploit this over time. So to protect myself I check to see what's been granted access periodically.
To access the exceptions list, open the Windows firewall from the control panel and select the exceptions tab. Don't worry abort removing too many, the applications will ask again when they need.