Microsoft software is designed for the corporate user. Such users are 'protected' from the Internet by Proxy Servers and expensive Hardware firewalls, so Microsoft never really had any reason to 'protect' the user from 'the network'. In fact, the reverse is true, in that Windows is designed to be accessed and controlled by the Company IT Department across the network in a way that was both undetectable and unstoppable by the Employee. As a result, all versions of Windows, including the so-called 'Home' editions, run 'Services' to support such access. Of course these Services will also allow malicious access from the Internet to any PC not protected by a firewall - in other words, almost every home computer.
If you fail to secure your PC it will soon become so infected with viruses etc. that it will be unusable. The first indication you get that your PC is infected is likely to be when your friends start complaining that you are sending them virus infected eMails. This is because most virus infections still replicate themselves by taking control of your eMail software and then eMailing themselves to everyone in your address book. Your efforts to eradicate the infection will put your data at risk. In the worst case, a complete reformat and re-install of Windows will be required = which may mean total data loss.
Much of this Topic is "Windows XP focused", which, despite the 4Gb licence limit, is still my preferred Operating System (with over 12 years of security patches and fixes, it is about the most secure of all Microsoft's offerings). However it should still provide interesting reading no matter what OS you are using.