Sasser +1 year - are your desktops secure?
Securing Windows XP Desktops Resource Guide
See also Jeff's excellent Infosec blog, and the MSRC team blog
And the Desktop Deployment Center security patching guide
Don't forget the RSS feed for security bulletins and the new security advisories page
Each month, Microsoft exec Mike Nash holds webcasts that you can view on demand here. Each one includes a nifty security checklist. Since there doesn't seem to be a pick list of just the checklists, here you go (in LIFO order)
Managing Access in the Extended Enterprise: The Checklist
E-mail Security, It’s More Than Filtering: The Checklist
Phishing: Don’t Get Hooked: The Checklist
Keeping an Eye on Spyware: The Checklist
Streamlining Patch Management: The Checklist
Social Engineering, the Human Factor: The Checklist
Information Risk Management: The Checklist
Managing Risk of Malicious Software: The Checklist
You can also hone your security expertise with Microsoft E-Learning Clinics, then test it in a risk-free environment with online Hands-On Labs.