Start > Settings > Control Panel > Network Connections
Right click on "Local Area Network" And go to "Properties", In the scroll box, Click on "Internet Protocol (IP/TCP)" and then click on the "Properties" button, In the new window, Click on the "Advanced.." button, Then in the other new window go to the "Options" tab, Click on "TCP/IP Filtering" and hit "Properties", Check off "Enable TCP/IP filtering (All adapters)" next In the Above "TCP Ports" Click on the Radio button "Permit Only" and then add in the ports that you want people to be able to access... If you're running a web server add in 80, If you're running an FTP server add in 21... And so on... Then hit "OK" And close all the other windows, And reboot when it asks you too.

This way you can close the ports that you do not need to be open to the outside world.  An alternative to this tweak could be running a firewall or enabling windows built in firewall.  Please note that in order for other computers to connect to you, for example sending a file over AOL Instant Messenger or using Windows Messenger to send a file, make sure that the required port is not blocked on your system.  Otherwise, nothing will go through.