Here is a program to help track a missing laptop. It costs $60.
www.lojackforlaptops.com Here is another one. $30 for a one year contract
http://www.gadgettrak.com/products/windows/standard/ Here is a free program
http://adeona.cs.washington.edu/ Here is an article about laptop security in general.
http://lifehacker.com/387235/how-to-thief+proof-your-laptop I’ve never tried any of these programs so I can't recommend one.
Someone suggested putting a sticker on your laptop saying something like “$250 REWARD for the return of this computer [your phone no.] [your email address]”. The motivation for a thief to return it is that he probably can’t expect to sell it on the black market for more than a couple hundred dollars. In essence, you would agree to pay ransom for your stolen computer and, hopefully, your data as well.
At least be sure to keep records of the brand, model, serial number and photographs of your laptop in case you need to identify it. Most of all, be careful when you are out in public. The fewer people who see you have a computer the better.