how to protect pc scaned

Help, several days ago, there was a post about the computer being scaning over the internet, that worrys me, I know little about the computer, I appraciate if any one can help me to understand that how to know some one is scaning my computer, or trying to access my computer, what should I do to protect my computer, firewall, which one is good, what kind information I should delete from harddisk, cookie, what is the path to this fold stored the cookie? I use the Win Me. many thanks.

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