VPN and Remote Desktop Security?

I have a job that allows me to connect from home to my corporate office, which is in another state. I use their VPN connection, and my XP remote desktop.

My question is, just how secure is the VPN and remote desktop connection?

I was recently chatting with a co-worker who suspects that someone within the company has been peeping at her personal info on her home pc. I assume that it is possible to see what employees do while they are connected to the VPN, but would it be possible for a company to access a home pc anytime they wanted to?

If so, what security measures could I take to protect my files and folders, whether I am connected to the VPN or not?

Thanks!
H~