A broadband connection gives you a fast, permanent connection to the internet. That's great, but if you are connected all the time, there is a small chance that someone might be able to steal personal data or download things to your PC.
To prevent this there are a range of software products on the market and many available free on the internet. The most important protection is called a 'firewall'.
A firewall is just a piece of software which runs on your computer all the time. It makes sure that no programs on your computer try to connect to the internet without your consent and that no one can download things to your PC without you knowing.