Do you have a firewall running? For instance ZoneAlarm, there are probably other brands as well, but this is the one I know. And it's always up and running down in my righthand corner, right next to my Norton Antivirus, making sure that noone has access to my little 'puter!
Here is a free firewall
http://download.com.com/3000-2092-10153453.html?tag=lst-0-1
and this is the homepage of the maker of ZoneAlarm
http://www.zonelabs.com/ You'll get the same product over both links!
They'll ask you a couple of questions to make sure that you've got the best security for your desktop. If you want the Top of the line product it'll cost ya $49.95, but that isn't necessary if you have a normal antivirus-program running! Go for the free version if your desktop is for your pleasure, and not for your job.
and, don't forget... check your computers security before somebody else does!