You can minimize your risks. The following suggestion are not enough for the truly paranoid, but I believe them to be good for normal yet wary people.
1. Get disk encryption tools like SafeGuard. Encrypted disks cannot be read by removing the physical disk.
2. Install a personal firewall on your laptop that is fully managed by you – ZoneAlarm is a good candidate.
Block all shared folders, shared printers nad remote management tools.
3. Create encrypted volumes where you store your sensitive material. Windows has EFS which may be good enough, but commercial solutions also exist, like pgp disk.