If you think about a telephone conversation, folk at both ends can talk and can listen. You may have someone in the background saying things that you do not want other to know. The same can be true when you connect your computer to other computers by the telephone !!
Clever folk elsewhere connected to the internet, may have a look at files that you have on your computer - they are generally known as Hackers. Even cleverer folk may be able to put files onto your computer. They may even be viruses that make your computer feel very poorly, or Trojan Horses that report your computer activity back to their owner.
Not very nice is it !! You can check how secure you are by visiting grc.com. When you get there, follow the links to "TestMyShields" when you have done that, try "ProbingMyPorts" - I hope you are not dissapointed !!
If you have not already, you can make yourself safer by erecting a firewall around your computer. One that I recommend is called ZoneAlarm. You can pay for a copy or download it for free from http://www.zonelabs.com I really do urge you to get a copy !!
After you have installed it, re-visit grc.com.
If you have not already got one, you would be well advised to get an Anti Virus program for your PC. I use a program called Norton AntiVirus - I saw it advertised today for just under £30.00 plus VAT. There are however lots of such programs available - I do not have the knowledge or expertise to offer an opinion on which is best.