I am historically a Linux guy, and only use Windows when I absolutely have to via VM. However, I recently purchased a new rig so that I can keep a dedicated Windows 7 machine up for hard work (cough,gaming,cough) and for software which just won't run on Linux.
I'm more than a little nervous. I'm very skilled in hardening Linux systems, but I'm a fish out of water when it comes to Windows. I've installed Microsoft Security Essentials and have Windows Firewall enabled, but I still feel like that's not quite enough (I saw a few viruses get past Security Essentials before I switched my wife from Windows Vista to Linux. Granted, she probably helped them by...she's quick to click things).
What steps should a paranoid user take to make his Windows 7 setup as secure as possible, aside from cutting the network cable?