One of the biggest risks, next to you telling your passwords to everybody, are trojans. What that is, you ask ? Well, it works like this :
1. You have a "friend", and are chatting to him with ICQ, mIRC, ...
2. He tells you he just downloaded a nice game and asks you that you want it, too.
3. You say :"Yeah, sure, I like games. Lao na pag interactive. Hahahha!"
4. You receive the "game" from him and you run it.
5. It gives you a fake error message and you think :"Damn, it doesn't work on my computer, too bad."
6. It installs itself, so it runs every time you boot and it opens a port on your computer.
7. Your so called "friend" starts his client, gets your IP-number through ICQ or mIRC, and connects to your computer.
8. He starts downloading files, deleting them or just formats your harddisk and even reads all what u typed. Even ur e-mail cannot be spared.
9. Your computer is totally wasted.

This is only one possibility. You also may have downloaded a file containing a trojan-server from an Underground site and then run it. Because u rerally want to learn how to hack but you've successfully openned ur port for everybody. Then a hacker may have done a portscan to several IP's and -lucky you- you were one of them. So, he thinks :"Hey, let's break into that one." and steps 7-8 (see above) repeat themselves.

Now, there are some things you could do to prevent all that from happening.

The first thing you should do is buying a good virusscanner. I recommend norton or the cleaner. They are pretty up-to-date and scan for the most common trojans, too. But now there is just one problem. Virusscanners are dumb when it comes up to trojans. They detect some of them, but certainly not all.