Well what you can do if you dont' wanna go buy a firewall, is download a free version of one.
http://www.simtel.net/product.downlo...s.php?id=53687
Thats a good free firewall right there. That will give you more protection that what you have right now.

Also I suggest some form of spyware/adware protectiong.
Ad-aware is a good one
http://download.com.com/3000-2144-10...age&tag=button

if you need anymore help let me know.
Also how are you connected to the internet? Cable? DSL? dial up?