This excellent post by Scott Hanselman tells you what you need to install when you get home with your brand new computer. Many of us perform this list instinctively, but a large majority of people happily take their shiny new box and plug it into their DSL modem before doing any of this stuff.
DON’T DO IT!
Read Scott’s post first. Install an anti-virus system, an anti-spam system, and an anti-spyware system. If you don’t have a dedicated firewall (and maybe even if you do), turn on the Windows XP built-in firewall. Not running XP? Install ZoneAlarm.