Security TestTry this and see your results. READ THE DISCLAIMER
A good well set-up firewall and anti-virus program works wonders (Dont bother with XP's built in firewall) (keep them upto date)
The obvious things to do are.
Enable anti-virus/firewall to start with windows/automatically options.
Close unused ports through firewall (usually auto)
Filter all ports through firewall (usually auto)
Enable malicious script detection (usually auto)
Enable e-mail scanning (usually auto)
Enable messenger scanning
Close all unnessasary services
Services DescriptionsEnable automatic updating in anti-virus/firewall
Use a good "spyware" removal program (keep that upto date)
Be careful with any file sent to you (e-mail, messenger etc)
Check running processes for anything unusual (make a note of it and do a search, end/remove it if needed)
BACKUP, BACKUP, BACKUP
Never give anyone your password, even if they are trustworthy it doesnt mean they know enough not to give it away
Then there are plenty of security tweaks available (e.g floppy disk system key)
There is no such thing as 100% security, just less likely.
Statistics say one operating system is less likely than another (thats no good if you the one getting mangled).
It's all about finding a balance (eg. if your a die-hard gamer switching to 3.1 or another system that isnt as compatible with your games isn't much of an option.)
"Security through obscurity" is nonesense.
I know this is stating the obvious but it might help someone