[Aiken]

Linux is a new style of life, and it's sometimes hard to accustomize.

If you stuck with windoze, get a good personal firewall. ZoneAlarm, Agnitum Outpost are quite good. I use Look'n'Stop, because of small size and reliability. But it's quite difficult for begginers.
If you have some money, you can even buy hardware firewall. They provide much better protection, as well as additional services.

Antiviruses (Kaspersky AV, Norton AV, Bitdefender and a bunch of others) and antispyware (best ones are Ad-Aware and Spybot Search and Destroy) are must have apps in the modern windoze world.

Traffic meter (DUMeter and TMeter): so you always know how much money you have to pay, unless you have unlimited access of course.