First off, get a decent antivirus program. I prefer avast!. Then, get a backup/secondary program to monitor system changes like Spybot's TeaTimer and/or ThreatFire. I run both. Granted, when I do come across an infected file, it seems like they've just dropped a bomb with all of the alerts and sirens...but I don't get infected.
One thing about Threatfire, it'll come up with some false-positives with legitimate files from time to time, so don't panic if it pops up.
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