Couple of tidbits of info...
System Restore is not all that Microsoft claims it is. People think of System Restore, they think of "Oh my shiz iz fux0red, Ill use systmz rest0rz. Save meh Micro$oftz." but in reality all system restore does is takes a snapshot of your REGISTRY. Thats it. Not system files, Not core OS componants, Registry. Alot of times a registry conflict will arise and system restore shines like a champ, but nine times out of ten, it flops like Bijou.
Spyware and viruses, from the first week of XP's launch, were infecting the files used for system restore, usualy found in the root directory in a folder called $System Volume Information (Forgive the lack of slashes as my keyboard is gay from time to time so I cant type out the whole file path). The little dollar sign is how windows marks folders that are hidden and vital to the OS. (Your Recycle bin is a folder called $RECYCLE) Alot like in unix and linux how a directory thats hidden has a period before the slash. ANYWAYS...
So alot of times these malware count on you being a nub and using the system restore and plop. You reinfect yourself. Continuously. Another thing they count on is your browser choice. IE is targeted largely because most computer users dont even have any idea that you can use another browser. Hell, some people think because it says "Internet Explorer" in the title bar that you absolutely NEED it for the internet.
Things that install spyware: TOOLBARS!! Google, Ask, MyWayWebSearch, those handy dandy bars are not made for free. They are more or less like payload trojans. CoolWebSearch is another one, this one is the absolute worst. Not all Spyware removers can get it in one shot. You need a special tool to get rid of it completely called CWS shredder. There are alot of other nasty variants. So chances are if you have one of those handy browser bars, SURPRISE!! You got spyware too.
Free screensavers? No. Shopping assistants? No thank you. Little crap apps you dont need? Just say no. In reality the internet is alot like sex. Abstain from bad activities and you wont get viruses, malware, and other infective goodies. A good app to get is Spybot Search and Destroy, not only because its a decent spyware remover, but it hardens your browser as well. That helps out alot. I dunno, figured since im somewhat experienced with the issue that I would toss my 20 won in the cup.