I harp on the issue of defense in depth on this blog on a regular basis. The reason for this is to make it clear to everyone who reads me on a regular basis that there are no magic bullets when it comes to security. You have to take a multilayer approach and then adjust your plan given the relative success and failures you're experiencing. You can't ever let your guard down, because you need to stay on your feet to stay the one step ahead of the bad guys because they're always nipping at your heels.
To help you get that job done, Kai Axford has put together a great defense in depth Webcast series that no Microsoft security administrator should do without. It's an eight part series and each part is worth watching at least twice.
Here are the links to the series Webcasts:
Thomas W Shinder, M.D.
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MVP - Microsoft Firewalls (ISA)