Its the timing of the connection to the internet which is the telling point. My experience has been that the PC connection (as opposed to the modem/router finding the internet) occures after my AV has kicked in. I have an auto connect to the internet so I do need to be watchful. If you leave it as a manual connection ( the PC that is rather than the modem router) I think you should be ok.
In another thread some time ago someone asked about the "always on" of broadband. Well it is not always on in the true meaning of the words. The FE coined the phrase of "always available" meaning it was always there for you to log into it as opposed to dialing up each time.
He went on to explain that he recommended that the modem/router IS switched off each time. From memory the reason he gave was that many ISPs use a system of dynamic addressing to their server and this changes each time you connect. If you do not switch off it keeps the first address which could increase the chances of attack.
I switch off every night and on again first thing in the morning. I have Zone Alarm and I put it to Engage Internet Lock when I am away from the pc for a while..........probably not necessary but it makes me feel better!
When leaving the comp when on the Net...I always close all open pages etc. and then Engage the Lock..I never go away and leave any Internet pages open. Think this is a good way to stay secure. Ofcourse any other tips always useful as I have just gone to Broadband..so still learning..