It's not the data on your computer they want, it's the processing cycles and bandwidth. If you don't protect it, you're machine will be used for:
- a porn server
- an open relay for spamming the planet
- a warez server
- a jump point for attacks on other systems
- a hidden IRC server
- or worse.
InfoPros Joint has a decent article which discusses the minimum of what you should do to protect your system.
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