I second DJ-Chris's recommendation. If you have an older PC not being used (like a Pentium or PII), you can download andd install any number of firewall applications and have your own, customizable firewall appliance.
Firewalls prevent bad guys (hackers, scripts-kiddies, certain worms, etc) from infiltrating your computer and using it for stuff like sending out spam or as a zombie for Denial of Service attacks against other computers.