Check out Grinler's excellent article here: http://www.bleepingcomputer.com/forums/t/1628/simple-steps-to-keep-your-computer-secure/
Particularly, note his IE mods to increase IE security. I would add clicking into Privacy/Advanced and 'Block Third-Party Cookies". Definitely 'immunize' with SpywareBlaster.
An image/restore program is good insurance in case all security measures fail. It takes 20 minutes to restore an OS partition from DVD - versus days for a clean install and restoration of all 'tweaks'.
Hope this helps!
Edit: Grinler beat me to it - posting his article before I posted a reference to the same article. It really is 'excellent'!
Edited by gud4u, 10 February 2005 - 11:45 AM.