How to prevent outside attacks on the PC?

I dont know the technical terms for this; but the case I'm considering is when you connect your computer to the internet, thats it. No web browsing or anything. I want to prevent malicious entities connecting to my computer, and putting malware in.

Is the windows firewall (XP) sufficient for this? Should any other security measures be taken?

Finally, how common are such attacks? I suspect such attacks would mostly be on corporations.

 

Do I need to configure the router? Or are the default settings good enough?