Hi - The key protection is to ensure you are up-to-date on all Microsoft security bulletins each month
If you perform a Windows Update each 2nd Tuesday of the month (or wait until the next day), you'll be keeping your system protected from the reverse engineering of code that occurs on every update.
I've not used Swat-IT but it sounds like a good tool. Using Antivirus software, a good firewall, and best practices will help also
There's also a new "MS05-036: Color Management Exploit Code in Wild" exploit that is based on vulnerabilities patched by Microsoft in July, that I'll also be warning about in a few minutes