Are you running a wireless connection? If so it most likely is an un secure connection and rly what they are doing is not hacking, just leeching. If that is the case you need to secure it. You can find guides online for that.
If you have a router, well that would be a good firewall right there, and if you have Windows, well Windows Firewall is good as well. Two firewalls would be more than fine with a secure wireless connection.