Hopefully you have your Windows machine set to receive updates automatically?  But do you ever check that updates are actually downloaded, and installed and what about third party software?

Well, this tip is an oldie, but still quite good and worth a mention;
Secunia (a very skilled security company) offer several products for evaluating your Software readiness (ranging from corporate products to free online personal scanners).
Check it out at (at the very least do an online scan);

CNet also offers a new product called TechTracker which more or less does the same thing;