While it isn't necessary an "open proxy", spammers are starting to convert compromised systems on DSL and cable-modems to something that can send spam.
The system is compromised by one of the various worms (email or port-scanning), giving the attacker unrestricted remote access to the system. The attacker then sells a list of IPs to a spammer, who uses them to relay spam.
To avoid becoming an unwitting participant, practice the usual safe computing:
- Use a firewall (preferably a hardware firewall: they are down to almost the same price as software firewalls).
- Use an email scanner to check your incoming email. Don't open attachments that you don't expect or recognize. Use something besides Outlook Express.
- Don't download/install software from the 'Net unless you are sure it is from a reliable and reputable source.