Security is priority 1 these days at Microsoft and it's great to see the changes that have happened since we learnt from stuff like Slammer and other security issues over the last few years. MSDN has now setup a great site called Developer Dave that helps developers think about security when building applications. I guess it's not always highest on the prio list for developers and we can possibly help here:
"When it comes to ensuring the integrity of your applications, the only approach guaranteed to work is to do it yourself. Learning about security doesn't have to cramp your creativity; this site contains loads of invaluable, constantly updated resources to help you protect what you build. Unlike Dave."
There are some great resources here for desktop, enterprise and web developers. Whitepapers, How To's, Tools and Utils and more.