I'm not sure exactly what you mean by protecting your IP address. If you want to be able to visit Web sites without them knowing your IP address, you can use a proxy service. Companies like Anonymizer sell services to offer this type of protection. You can also search Google for "anonymous proxy" and find other similar sites.
If you're looking for a way to protect your computer from attacks while connected to the Internet, you should use antivirus software and a firewall. Windows XP includes a firewall called the Internet Connection Firewall. This Microsoft article includes an overview of personal firewall options.
This was first published in October 2003