http://www.microsoft.com/technet/securi ... 9-048.mspx
This security bulletin highlights a critical flaw in some versions of Windows' TCP/IP stack that may allow remote code execution (this means bad guys can target your system and make it do bad things). It's interesting to note that Windows XP SP2 and SP3 (including XP x64) are safer in this regard than Vista--they're only affected by a denial of service condition. Also unaffected is Windows 7.
Remember when MS was pushing Vista because it was more secure than XP? Yeah, I thought that was funny, too.
Anyway, here's the low down: If you're running Vista, you might want to keep an eye out on Windows Update in case they release a fix. If you're running Windows XP, make sure you have service pack 2 or 3 installed, but you're probably safe anyway. Also, if you're behind a router or your cable/DSL modem acts as one, you're safe. If your machine is plugged up directly to the Interwebs, you're probably in trouble.
Edit: This appears to have been patched according to the bulletin. However, if you don't have automatic updates enabled and you're running Windows Vista, you'll need to visit Windows update as soon as possible.