I've heard that if you connect online through Windows without patches,
you can expect someone to break into your system in a matter of
minutes.  This is why you need a firewall, Linux (better), or both
(best).

While not the ultimate solution; having a router (with NAT turned on)
and (basic) firewall capability generally will protect you.  If
setting up a fresh machine, if you can provide XP with SP3 BEFORE
connecting to the 'net you should be ok with the above as long as you
then run Windows Updates and install decent AV software.

Yes, this is a Lug list...but most of us support Windows in a (not so
insignificant) portion of our lives.  Having Service Packs handy (even
if not burned) can help immensely...

Also, with Vista you have to apply SP1 BEFORE you can apply SP2.  7's
SP1 is in RC status, IIRC...