Firewalls
A good firewall will block all the ports on your machine except for the ones you are using.  It should allow you to choose whether or not people should also be allowed to connect to your computer.  A good firewall is Network Ices Blackice Defender (so I suggest you get it)!  A good one will also close the ports which remote administration programs use on your computer and warn you if one is running on your machine.  I suggest installing one to help defend yourself. The firewall will stealth all your ports.  U might of also heard of people installing 10 firewalls on their machine.  I know someone who had 10 firewalls running and all of them crashed from a program called Meliksah which crashed them all.  However, the reason it worked was because the firewalls were set on minimum security which meant that many ports were open.  The only way to truly protect yourself is by having the security up to max... Otherwise it doesn't matter how many firewalls there are!  Also, remember that if you allow you're computer to have a weak point (eg if you use ICQ), that means that you are allowing them to connect to your computer.  Once they are connected, they can do alot!