Often, I field questions about how to protect a computer, especially when it's brand new. I've often given customized advice to people, depending on their current environment. But, I get the questions enough that I considered composing a document that outlines this information.
Fortunately, I have (and, so have you) paid for someone else to compose this document for us:
http://www.us-cert.gov/security-publications/ten-ways-improve-security-new-computer
This federal government site has a wealth of information, including this well-written document, on how to secure your computer from the bad guys. There's lots of ways to protect your new computer from getting compromised, but this document provides a great baseline for everyone to follow.
Besides the steps outlined in this document, I would also add that setting up a new machine is a perfect time to also setup a solid backup solution and consider encrypting the hard drive in your computer, especially if it's a notebook that gets lots of miles.
