Is it dangerous to connect to an unsecure wireless network?

I have brought my laptop out and about today and have picked up some unsecured connections. One is called “Guest”.

When I click on it, a warning comes up saying “Information sent over this network might be visible to others.”

Is this dangerous and does it mean that:

a) People on that network can view my internet browsing habits/sites?
b) People on that network can steal or view my files?

Any information or advise would be helpful. My computer is running Windows 7 and has Norton Security installed and operating.