Microsoft publishes a range of free security-related software. One of the best-known is Security Essentials, the excellent antivirus/antimalware product which was recently updated to version 2.0.
Many of the other products in the collection are aimed primarily at large business customers, and are not of general interest to anyone else. But of the handful of exceptions, MBSA has always stood out for me. MBSA is the Microsoft Baseline Security Analyzer. It's a clever tool which analyzes your computer's contents and configuration, and provides relevant security advice in areas such as missing critical patches, user accounts that don't have passwords, and so on.
If you've never used MBSA before, it's worth a try. Version 2.2 is the latest, which was released back in August. It's available for all recent versions of Windows, both 32- and 64-bit flavours, and the initial download is only 1.6 MB.
You'll find links to MBSA, as well as pointers to all of Microsoft's security tools, on the excellent web page at http://technet.microsoft.com/en-us/security/cc297183.