G6/Bullet Proof FTP server is tops if you're willing to pay for one on MSN Windows based PCs. Guild is a good alternative.
Are there concerns? YES
Is anything fullproof against hackers? NO, not even unix based systems are free of hackers... BUT unix based are deffinately more secure (mainly because of less people using them *as in script-kiddies).
You should still have some form of firewall (external best, but software will do). You can never fully protect yourself, but at least with the firewall you can control most of your traffic.
What type of FTP server do you plan to run? If it's for just you and friends, then in your firewall and also in FTP server security settings, just set their IP address's and make sure you give them all different passwords (at least 10 characters long).
These things will help protect you better... However, being that you will have to leave the port(s) open for people to access your FTP server, you will always be at a risk. So my last suggestion on this would be for you to think of a different port number than the default 21. Suggest you do something like 4000 or 7000 or something like that (not 2121 lol).
Good luck!