well I havnt used windows for a while...but I figure it is still as insecure as is has been for years. It really woulnt hurt anything to setup an iptables firewall, google for it but basicly you want to reject everything then just accept what you want...like
iptables -A INPUT -p tcp --dport ssh -j ACCEPT
which would accept ssh (22) port
you could use firestarter as a start....it should get you a basic working forewall in a few min using iptables rules.