Proxies and firewalls are the two main types of barriers between a computer and the internet that allow communications only under certain circumstances and block certain types of communications entirely.
A proxy computer can be set up to block communications such as cookies, junk e-mail, java, ad banners, the types of communications used by intruders attempting to hack into computers, and others. An example of a third party proxy server accessed on the internet is the Anonymizer http://www.anonymizer.com.
Firewalls are to a computer what locks are to a door. When the firewall functions properly, data can pass to and from the computer only on specific ports which are monitored. Some firewall programs make a list of unauthorized intrusion attempts. Be sure the firewall you install protects both incoming and outgoing information. There will be times when your firewall software constantly warns you programs attempt to transmit data over a network (mainly a network that is connected to the internet). You can set your firewall to work in the background so it does not warn you every time it does its job. Hopefully, after repeated attempts, the would-be intruder would give up on your protected computer and continue searching for an unprotected computer.
If you use a home network or wireless home network then you most likely have a router. Be sure to change the default password for your router from the manufacturer's default password. Also disable the remote administration feature of the router so hackers do not have the option to control it.