I am assuming this is a home system...
1. go grab zone alarm fire wall its not bad and free you shouldn't need more then that
2. get some sort of AV program
3. did you do any work on your system files MMC.exe is the built in windows program to do every thing in xp/2k if you didn't access anything look through your user lists and see if anyone was added...if you didn't access the mmc then you where hacked.