That's a Windows PC on your network, and it's nothing to worry about. The network is like a street that has houses up and down both sides. Just because other houses are on the same street as you doesn't mean they can get into your house, nor can you get into theirs. Another one that works is if you're connected to public wifi at a store or hotel. Everyone's computers are sharing the same network and you might see them there. Things you will see include:
- Mac computers that have file sharing turned on
- Windows computers with shared folders
- AirPort disks and Time Capsules
- SMB/CIFS, NFS, FTP, and WebDAV services running on UNIX, Linux, and Windows servers
- FTP servers
If you prefer to see none of these, open Finder Preferences and uncheck "Connected Servers"