If you are using Windows and have file sharing on (i.e. network neighbourhood and all the rest of that stuff),
make sure that your network shares are not accessible over the internet.
The way to do this varies, depending on which version of windows you are using.
Basically though, goto the properties of your LAN card (or ADSL/modem card if you have one), doubleclick tcp/ip, and untick the box which says "enabled Netbios over TCP/IP"
It's very important. To test if you have done it properly, visit
www.grc.com and goto shields up, click on "probe my ports" and "test my shields".