As well as your virus protection and firewall programs get PeerGuardian 2 to block known trojan/worm sites. Its realy top sh!t.
Just dont unblock any bloodey http/UDP/TCP address unless you know its safe.
I use both SpyWareBlaster and SuperAntiSpyware which craps all over Ad-aware SE Personal.
All the above are free (except Spywareblaster Pro version), but PG 2 does a fantastic job blocking potential threats to begin with (esp porn sites). Both my SWB and SAS logs are very small as a result.