If you have a firewall installed, use it. It will help block the "ports" where these types of intrusions could occur.
First, if you aren't running on a LAN (network), then you don't need to have a network service called "File and Printer Sharing" installed. It allows the "hole" whereby files could be transferred to your computer. If you are not on a network, please uninstall "File and Printer Sharing" like this:
Windows 9.x/ME: Click on Start-Settings-Control Panel, double click on the "Network" icon. When that loads, on the "Configuration" tab, look in the white network components section and click once on the "File and Printer Sharing for Microsoft Networks" to highlight it, then click on the "Remove" button and follow the prompts to remove the service.
Windows 2000/XP: Click on Start-Settings-Control Panel, (or Start-Control Panel in XP), then double click on the "Networks and Dial Up Connections" icon, then find your type of connection type being used currently, either "Local Area Network" or "Dial-Up", then RIGHT click on it, choose "Properties". You should then be able to see the network components that are installed on the computer. If "File and Printer Sharing for Microsoft networks" is listed, click once on it to highlight it, then click on the "remove" button. (Or simply UNCHECK it.)
If you are on a LAN and file sharing is required,(on Win95/98/ME computers) then double click on "My Computer" RIGHT click on the C drive, choose "Sharing" from the menu and type a password in the password lines. Click on Apply, then OK, etc. On Win2000/XP machines you will need to establish specific "permissions" (read only is best) for each shared drive/folder.