Hi,
Congrats on your new laptop!
My Girlfriend bought an MBA 13" last week and the firewall was not running per default on her machine, hence be sure your firewall is active:
1. Open System Preferences > Security
2. Choose Firewall tab
3. Check that Firewall is running, if not activate it
4. in Firewall options, "Automatically allow signed software to receive incoming connections" should be ticked by default. You might want to "Enable stealth mode" as well. Those are the settings I use, there might be better ones.
The Firewall blocks incoming connections, you can check Little Snitch to control outgoing connections as well. (optional)
http://www.obdev.at/products/littlesnitch/index.html
An application I could not live without (but that's just me) is Pathfinder:
http://www.cocoatech.com/pathfinder/
Disclaimer: I am not affiliated with any of these software vendors nor do I get any reward from them. I just happen to use their software on a daily basis.
I'm an old fart who grew up with Unix, hence I use the command line (terminal) a lot. It's a powerful way to control your mac! If you come from the Windows world, the command line and scripting capabilities of OS X are miles above that of Windows. You might want to look into that although there is a learning curve involved if you're new to it. You can use your mac without this, though.
Hope this helps,
Etienne