Well, so long as you run Windows Updates the MS Vulnerability MS08-067 should be patched...

So, like with every other worm:
1. Ensure Windows is Patched.
2. Ensure you have a solid Virus Scanner (Avast! is FREE, there is no excuse)
3. Ensure you have some auditing tools like Spybot Search and Destroy and Hijack This! so you can perform a scan of your system.
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