Trojans topped the news when the Back Orifice program came out a while back. This program was also distributed as an innocent-looking attachment and there are systems which constantly test computers connected to the Internet to see if they are running the Back Orifice trojan. Mine was probed in January. Well, that's where the security programs to detect and prevent these critters from gaining access to your computer come in. There are three personal firewalls you will probably want to look at, based on their cost and the quality of protection they provide.
None is perfect, nor all-encompassing, but one is free and the others are fairly inexpensive.
It does a good job of catching nasty programs trying to gain access to your computer. It is based on the AtGuard program which was also highly-rated when it was sold independently. NIS 2000 offers a bundle of protection options including Web site blocking for children, anti-virus and Internet connection protection. All three of these programs have been analyzed by different security specialists and, out of the seven or eight personal firewalls that are available, these seem to have the best balance between features and cost. I've been using BlackIce for a few months now, and it has been detecting several attempts to probe my machine each week.