I asked something similar for a web server a few years back and this is the reply I got for doing a post-mortem on a server hack.
Dave is right on the money when he says that getting a firewall will help block access to your machine from both outside intrussion and hidden software inside your computer that will be trying to send information back home.
The biggest thing to do with a firewall (such as ZoneAlarm or the built-in Windows Firewall) is to block any unused ports. Closing the ports will prevent any unauthorized access to your network (ie, you machine).
If you are interested more of the technical details about computer security you can check out the 'security' tag on ServerFault where you can find quite a few questions on how to secure machines, networks, and such.
Hope this helps with your research.