Excellent advice DanH - we also have a couple of other articles about what to do to protect your safety online.
http://windowslivehelp.com/solutions/safety/archive/2009/04/29/recent-reports-of-account-hijacks.aspx
http://windowslivehelp.com/solutions/safety/archive/2008/10/24/protecting-your-identity-you-can-t-afford-to-take-the-back-seat.aspx
If you think you're account has been compromised, we also have this article:
http://windowslivehelp.com/solutions/accounts/archive/2008/10/25/what-to-do-if-you-think-your-accounts-been-stolen.aspx