In most burglaries, the criminals broke into the house or flat through the door, either by forcing the lock or kicking it in. So make sure your doors are strong and secure. Consider fitting a bar for extra strength; a locksmith can advise you on how best to do it.
Glass panels on doors are particularly vulnerable. If you have one on your door you could replace it with laminated glass, which is stronger. You can also buy a film in a DIY store that you can stick over the glass to make it harder to break.
Home security and DIY shops sell inexpensive, key-operated locks to fit most kinds of windows. Fit window locks with keys to all downstairs windows and those upstairs that are easy to reach.