Windows OS is probably deemed as an easier target within the hacking/virus fraternity. Microsoft initially writes the OS and puts it out onto the market. Then hey presto, there's more viruses than you can shake a shi**y stick at!!!
Microsoft makes you think that it's giving you an excellent OS (which I've no doubt that it does) but with all these 'bells and whistles' brings massive holes in the OS security. Then it's down to Microsoft to attempt to close these holes, but by then the hackers have already made their name. I could be going into the old 'Virus writers are actually the Anti-Virus companies' conspiracy theory.... Hey, this could turn into a new thread to discuss?
also disable the remote admin invitation from Mycomputer - Properties - Advanced
loads more you can do, but depends on what you use your system for.
Bigest compromise to security you can heve is a filesharing Aplication like Limewire or EMule... opens up ports on your firewall like lights on a chstmas tree and attracts loads of attenton... Whilst downloading a file I got port scanned 3 times, flooded with pings and lots of dodgy malformed packets bouncing off my machine...
Ultimately you can move to Linux, Ubuntu is the closest things in terms of compatibility and useability to windows... I swear by it, can even run my windows apps on it using WINE, and unlike windows if you need a proggy to do something just launch the package manager (similar to windows update) and type in what you are looking for then 9 out of 10 times its there for free!...
And most interestingly the Aegis virus scanner that comes with ubuntu even detects Windows as a virus! (if you choose to dual boot)
The difference in security between linux and windows, If incorrectly configured it is wide open to a whole load of other exploits, eg apache scripting, telnetting if not disabled amonst others... where as windows is just prone to everything.
also if you are using a cable modem or boredband router it might be worth putting in your own router in the middle instead of pluggin the wire straight into the back of your system... that way any would be attacker would have to get through NAT and the routers own firewall too
If your using an ADSL router, you may find that its recording this information in one of its logfiles. You may also find that you are able to disable incoming ICMP traffic (pings etc) using the routers inbuilt firewall.