Programming a safer system
What we want, as much as is practicable and for a more responsive as well as a more secure system, is a clean, lean machine. It's a no-brainer: reduce the avenues of attack.
Patching the system and programs
We've looked at Windows Update and, while this should be pretty clear for any operating system, it's easy to be lazy about other programs so permit me to drive home the point.
Whether it's the underlying system, the all-important web browser, or an apparently inconsequential utility, it's crucial to update programs with security patches. If you don't and, say, a malicious script finds the vulnerability, your machine could be easy prey.
Note
Windows XP Service Pack 2
If you're still running this patch-pack, and plenty are, you're a victim-in-waiting. As of July 2010, Microsoft no longer supports SP2 with security updates and, while we're about it, they've pulled the plug on Windows 2000 entirely.
Either upgrade to Service Pack 3 or migrate to another system.