What type of worm was it?
If it was a worm on a portable device or disc (DVD, CD, USB device or memory card), you can arbitrarily defend this attack vector by disabling AutoPlay:
http://support.microsoft.com/kb/967715 (scroll down to the Fix-It icon and use the one that disables AutoPlay)
If it's a network worm, firewalls are the usual defense. A router between your modem and your computer will prevent attacks that come from the Internet. A firewall, Windows Firewall or whatever, can protect your computer from other computers that are connected to the router.
Also keep your software up-to-date, both the Microsoft software and third-party stuff. Secunia's free PSI utility is excellent for this:
http://secunia.com/vulnerability_scanning/personal/
Microsoft also has a security-enhancement utility called EMET, here's some info on that:
http://www.mechbgon.com/build/security2.html#sehop Along with this, I suggest maxing out your UAC slider, which is in Control Panel > User Accounts > User Accounts > Change User Account Control Settings. You want to be notified when something tries to mess with system settings, so
max it out.
Beyond that, for a free antivirus program, I go with Microsoft Security Essentials, but AntiVir, AVG and Avast also have their followings.
