If your router has a built in firewall that's a start. Then I would download and install all windows critical updates. Also look into some of the intrusion detection systems such as snort. If he threatened you in an email or something print it out for evidence and call his isp and maybe they will disconnect him. Also, turn disable all unnecessary services. You could even do some vulnerability testing on your comp. Other than that I'm not sure what else you can do, but I'm sure someone else knows. I would bet that this person is nothing to worry about though.