This is probably the most important and easiest part of your computer security to take care of. Go to the Microsoft Windows Update Page. This site will allow you to update your operating system (Windows XP, Windows 2000, Windows ME, Windows 98, etc.) with the latest security patches. The important updates will be labeled as "Critical Updates." You must install the critical updates. Occasionally, a vulnerability is found in the operating system. Microsoft will create a "patch" or fix for the vulnerability and you can get it as a critical update at the update site.
Also, visit www.GRC.com and run his Un Plug 'n Pray, DCOMbobulator, and Shoot the messenger. These programs help to further secure your computer and disable some security holes that Microsoft views as "features" rather than problems.
Do you have kids? If so you probably set up a limited user account for them on your Windows XP Home Edition computer. You don't want them to have full administrator access. Well it is very easy for them to get access with very little research if you don't change the Administrator Password. Unless you correct this problem, the kids (or anyone else with access to your computer) can boot to safe mode and log in as an Administrator with NO password. Then they can give themselves administrative rights and cause all kinds of trouble (intentional or not). You see, there is a hidden Administrator account that by default has no password. To set this password, from any account with administrative rights, click the Start Button, select Run, and enter the following command - "control userpasswords2" (without the quotation marks). This opens a window where you can set the password for any user account including the hidden administrator account.