1. Zonealarm (free edition)
http://www.zonelabs.com/store/content/company/products/znalm/freeDownload2.jsp
It's the firewall that stops people from breaking into your machine, and that stops progs on your machine already (we'll come to that in a minute) from sending info out (including the c**t emals to everyone

)
Install it (making sure it's the free version) and answer the questions......(how many pc's is it for personal use etc) and go through the tutorial it offers.
As soon as it's done and you do anything on the PC, you're likely to get message boxes up saying 'xyz prog has asked to access the internet, allow/deny??'