Asuming you're using XP, there should be a built in firewall. I've turned mine off coz I don't really trust Microsoft, and I use Norton. I'm sure Buttys put a sticky on here somewhere about a firewall, I'll have a look for you.
if your just on a new PC and its not got the blaster update, do a windows update on before you do anything at all or you will be riddle with the virus.