Hi BF
Just cookies - remember to clear them out on a regular basis, or specify which sites should be allowed to set cookies. The Java update was important as the older versions have been used for attacks.
As for IE7, I still see folks with problems, so I reckon there still some bugs to be fixed in the programme.
Remember to defrag and clear your temp files on a regular basis. You might want to disable some start up services - things like iTunes and QuickTime don't need to run at start up - I use these sites for services guides
http://www.ss64.com/ntsyntax/services.html
http://www.techspot.com/tweaks/winxp_services/
Some other useful reading
PC Safety and Security--What Do I Need?
Let me know if you need any other recommendations on the Security front.