When you connect to the Internet for the first time, you should connect to the Windows Update service immediately and install all of the available updates. This includes any Service Packs that you have not installed yet.
It is very important that you keep your Windows system up-to-date at all times. Many Internet problems occur when bad guys learn to exploit flaws in old versions of the operating system.
For Windows XP, you should enable Automatic Updates so that fixes are downloaded and installed automatically when they are ready.
Your firewall, spyware, and anti-virus programs may also support automatic updates, or you may have to check for fixes every once in a while.
In addition, some of your major applications, such as Microsoft Office, may also offer updates and patches. You should regularly install these updates, either automatically or manually.