Your right, if your connected to the internet (or anything for that matter) someone somwhere with the resources and time can hack you.
Rule 1. Don't store anything on your computer that has an internet or network connection that you don't want to be stolen.
Rule 2. Use a router, proxy server (unix) and hardware firewall or at least two different operating systems within the transmission path.
Rule 3. Isolate the above. Copy the information you want form the above kit to a "safe" machine without any sort of connection, I use a the CD-RW medium. Run all the programmes in a known secure environment, if no problems, you might be ok. but even then you can be hacked from outside you premises/home, GO TO Rule 1.
For most of us with no financial resources though just take a chance with Norton Firewall 2002 and related products. Stops the student hackers and spam hackers mostly.