Make sure you have Windows Firewall on or another Firewall software installed

A firewall is like a gatekeeper to your PC. It monitors Internet traffic into your PC for better protection and will prevent remote access trojans from hijacking your PC. Windows has its own built-in firewall on Windows XP and Windows Vista. Be sure it is turned on.

The path you would click on to turn on the Windows Firewall would be as follows:

Start --> Control Panel --> Security Center (or just "Security" in Windows Vista)

The screen would look something like this in Windows XP:

Windows XP Security Set Up screen

Additionally, when you click on the "Windows Firewall" link it takes you to a three tabbed window where you can further configure the "Exceptions" tab to allow specific software/websites to communicate with your computer, even though the firewall is on. The types of software you may want to allow "exceptions" to would be things like: your anti-virus software, iTunes, etc. Note: these are programs you know and trust that they are legitimate and will not send you malware. See the image below for an example:

Firewall Settings