Lots of good stuff on this site, especially for XP users. A lot of freeware for testing, Interesting that ZoneALarm pro comes out top on leak test. Have a look this is a decent site.
I've posted a link to this site in another thread but it's worth another mention. It's a quick easy fix to update driver's and security patches at the click of a button. http://v4.windowsupdate.microsoft.com/en/default.asp
Another Microsoft page, this is crammed with tons of info on all sorts of petential problems and fixes. Lot's of XP stuff but other stuff too http://www.microsoft.com/technet