I recently found a great tutorial on how to make Windows Vista and XP more secure. By default Windows Vista and Windows XP SP2 or above have measures to prevent buffer overflows and memory corruption. Data Execution Prevention (DEP) is one of these measures Microsoft implemented. The problem with DEP is that you need to configure it right. The video I found takes you through the process of configuring it right both for Windows Vista and XP.
Here is the tutorial. It is really worth taking a look at.
I hope you find it helpful