EMP is induced into wiring to damage equipment, and it doesnt have to be plugged in to receive the power spike.
You can protect the wiring entering a building along similar lines to protecting from Lighning, but if the equipment inside is not sheilded it will still get damaged.
The cost of building a Farraday cage into your house to protect your equipment would be a bit ridiculous. If you realy are conserned I would suggest you read some books on power protection starting with power spikes and lightning protection then work up to EMP after you understand.

Because you can create a non nuclear locallized EMP quite easily, I am surprised that some terrorist cell somewhere hasnt tried this tactic already. I beleive this is a very real threat.