The government isn't the only one with lessons to learn from recent data disasters: all of us should re-assess how seriously we take data security on a personal level.
First, ensure your PC is protected by a decent firewall. Comodo Firewall Pro is free and consistently ends up towards the top of the tree in independent testing. It's unobtrusive as far as system resource impact is concerned, uses a host intrusion-prevention system to prevent malware from installing, and it also runs on both 32- and 64-bit versions of Vista. You get all the automatic updates, rootkit and real-time traffic protection you'd expect of a full enterprise-level firewall, but at a price you most certainly wouldn't.