Along with the good advice already given, I'd also make sure to turn off Universal Plug and Play if you're running Windows XP.

Universal plug and play allows software to automatically discover and use network-based devices, which means that software can open ports in your router's firewall if your router supports UPnP functionality. UPnP is enabled by default when Windows is installed and should really be turned off unless you absolutely need it. Make sure UPnP is turned off for your router as well.

grc.com has a utility that makes turning off UPnP easy.

http://www.grc.com/unpnp/unpnp.htm

nukem