In addition to the obviously wise precautions of having a firewall, AV software and anti-spy/malware software - and exercising prudence regarding opening suspicious files - may I warmly recommend everyone to operate their accounts (where applicable) as ordinary users as much as possible, rather than as administrators or Power Users?
That way, there is far less risk of installing any nasty onto your system. Not applicable to Win 9x systems, obviously - another massive reason to move into the 21st C.
It isn't totally foolproof - but every little helps.
SD