I agree with Bookworm, A computer get's hit with incoming connections every minute, not just from people within the us, but all over the world. I know because I have Mcafee Personal Firewall Plus, and one of the utilities installed with it is a Tracer, where you trace the IP Address of the computer that attempted to connnect (or hack) to your computer. It shows the most probable route the data took to reach your pc, and where the host's computer might be located. Mcafee Personal Firewall Plus
(or any firewall) is a great beginning to protect your pc. After you (collegejohn) get a firewall installed, purchase good Anti-Spyware software.
Here's an interesting fact that most of you might know: computer's that do not have a firewall can be easily attacked by an internet pirate (a person who illegally downloads music, or other software), then that pirate searches the pc for new music that hasn't been released yet. And the scary thing is that most artists do not know what a firewall is!

That's how it all starts.