You're fine. Your risk is no greater or lesser than before this person told you this over MSN. Its a good idea to have the following levels of protection:
- A Cable/DSL Firewall (Linksys, DLink, Netgear, etc.) which will NAT your egress traffic from your internal network and the Internet. Also blocks unnecessary ingress requests.
- Enable Windows Firewall or install some other kind of software firewall.
- Run Windows Update regularly. Keep your messengers up to date.
- Be careful with P2P, freeware, warez, etc. as you could easily get a trojan onto your machine. When in doubt, run HiJackThis and get someone to review your logs. -
- Disable your default Administrator account, give full admin rights to another account, and use a GOOD password that is at least 8 characters and contains letters, numbers, and at least one special character (~!@#$%^&*()_+-={}|:"<>?[]\;',./)