Originally posted here by Trevoke
Such sharing only works within your WORKGROUP or DOMAIN if you have that enabled. It's likely you have a WORKGROUP setup, and anyone within the WORKGROUP (behind the same router...) could connect to the files.
This is most likely some odd Windows XP make-it-easy-for-the-user feature and nothing to worry about (beyond the gaping security hole).
I would be worried about it. The OP never indicated whether or not he had a firewall enabled, nor did he/she indicate what OS he/she is using, or if there was a router on the network.

My advice to the OP:

Rather than just remove the shares, go do a little research on NetBIOS, how it works, and how Windows shares work. Apply your research to your particular setup, and then you will truly know whether you are safe or not. Best case scenario is that, like a few have said, it's just a default setting and theres nothing to be worried about...simply turn off the sharing. Worst case scenario is that you have all of your drives shared out, allowing complete uninhibited anonymous access to all your files.