Since using ADSL and having Netgear Modem/Router/Firewall I have had no problems. It disables ALL incoming traffic. As a secondary measure I also use Windows XP's built in firewall.
As Rob K points out, unless you disable downloading of ActiveX stuff in IE, then you will be plagued by those innocent grey looking boxes that try and get you to install all sorts of premium rate diallers and adware. When it says stuff like 'You must click YES to view the content on this site' JUST SAY NO. Is it really that hard?
Be interesting to see next version of IE that supposedly has all sorts of popup blockers in it. Bet they don't work properly and someone will find a workaround with days.
If you haven't got a virus killer installed, then you are plainly stupid and think 'It will never happen to me'. IT WILL. Get over to grisoft.com and download the best FREE virus killer with lifetime FREE updates. Has not let me down yet. Checks your incoming email in outlook and outlook express as well.
Another absolute must is Ad-aware over at lavasoftusa.com which is also FREE and will clean up your pc of all dodgy adware like diallers, keyboard loggers, registry hacks, e.t.c. It also gives you FREE updates whenever you want.
As an extra measure try the other adware proggy 'Spybot search and destroy' at safer-networking.org (seems to be down at minute). Not quite as good as adaware but may find some extra stuff. It has the added advantage of protecting your delicate windows area from further attack.
Boo!