First off, I'll assume you're using Win XP. If you're using the built-in firewall, then ICMP echo requests -- i.e. accepting "pings" -- are [already] disabled by default. If you ever wish to enable pinging of your system, open "Windows Firewall" in the Control Panel and click the "Advanced" tab. Click on "ICMP/Settings..." and then check "Allow incoming echo request".

note: when it comes to [production] servers, especially those running Linux (or other *nix variants), the considerations involved -- when deciding whether or not to disable pings -- and the procedures used, can require a fair amount of tech savvy.

To disable pings on Windows servers, see the following article;
http://www.windowsnetworking.com/kbase/WindowsTips/Windows2003/AdminTips/Security/EliminatingPingResponsesfromSecretServers.html