Find out what port(s) the game uses and open only those ports to incoming traffic. Anti virus software is also good. Mainly for detecting/stopping virii so use one of these as well. However, there is no sure way to protect your computer while you are using it online. You can do your best to minimize attacks/vulnerabilities, but the only sure way to prevent any incident is to isolate your computer from outside interactions. In your case, no online games. Or internet browsing, email, chatting etc. Just pull the wire that gives you internet life, and you are secure. Totally (from online threats). It seems you probably want internet/online gaming access, so my first suggestion is probably better. Less extream as well.
\Dan
Edit for craptacular typing...