Isolation.

GM

Well, since I offered only a wise-crack earlier, I feel somewhat obligated to contribute something now. The second link in 101mph's post covers some of the tools mentioned below.

 

Various security tools are necessary. A hardware firewall/router is highly recommended (although it is impractical with a dial-up connection), along with one (bi-directional) software firewall, one resident/monitoring anti-virus program, and a few anti-spyware programs. Some free programs in each of these categories are among the best. Restricted browser settings are also advisable, and regularly security updates for the operating system and most other software. Installation resources and backups should also be considered as part of security, as the primary iron-clad recovery option is starting over by re-building the software configuration from scratch or restoring a known good image.

 

Avoiding all possible threats requires some familiarity with their methods, and no tools can overcome ill-advised usage. Windows is a powerful operating system, capable of all sorts of things that can be used to make your experience good or bad. Even the newest and most innocent owner/user is responsible for establishing and maintaining adequate levels of privacy/security, reliability, and performance. Windows is not properly configured by default and is not self-maintaining.

Firewall - ZoneAlarm, when you absolutely, positively need to know and maintain control. Or whatever.
Anti-virus - various - I use Norton Anti-Virus without issue, I'll defer to others for more recommendations
Anti-Spyware - AdAware, Spybot Search & Destroy, Spyware Blaster, others.

Those suites sure are sweet, but not a complete security solution and not the best in each category for components they do include. Parental and privacy control features may be necessary for some, but a talented administrator is recommended. They may offer the most protection for inexperienced users, but can also be the most challenging to properly configure. If you can trust all users to never use a real name, address, or other personal information except as required on a secure site, to never respond to a pop-up advertizement or faux warning, and to delete all unsolicited e-mail without opening, you may not need these extra controls.

These links may be a good introduction to the topics related to privacy and security.

http://www.cert.org/homeusers/HomeComputerSecurity/
https://netfiles.uiuc.edu/ehowes/www/main.htm

http://spywarewarrior.com/asw-features.htm

 

GM

As has been indicated by the people who already replied, there are several aspects to internet security... and you need to have protection in each of these areas:

windows critical/security updates

anti-virus (worms/trojans &etc)

anti-spyware

firewall

(not as critical as the above, but probably desirable) pop-up blocker

 

Please note that a security SUITE may offer you some combination of the above.... in this case, you only have to "add-on" those features that it doesn't already have.

 

Here more information [including FREE recommendations] on each category... 

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Windows critical/security updates are made available the 2nd Tuesday of each month, and should be installed as soon as possible.   If you've set-up AUTOMATIC updates, that's optimal; but if not, you can manually obtain them, in Internet Explorer, by clicking on TOOLS, and then WINDOWS UPDATE

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Anti-Virus:  You should have ONLY ONE passive/RESIDENT anti-virus running on your system, which is set to load/run automatically every time you boot-up your PC, and which continually monitors your files/e-mails, in real-time, as you download/install/open/run them.  In contrast, feel free to visit as many of the "online scanners" that you have the time/patience to play with. 

Regardless of which product you choose/use, it is critical that you continue to update its definition/reference files... I strongly advocate this be done every time you log onto the internet.

[Norton and McAfee are certainly the big "names" here].  FREE products include:

grisoft/AVG:  http://free.grisoft.com/doc/Get+AVG+FREE/lng/us/tpl/v5  then, click on the avg71free...  link near the bottom of the page

or

avast!  http://www.avast.com/eng/avast_4_home.html

i've been using avg (first version 6, then version 7) for a few years now, and have been very satisfied with it.   i personally haven't tried avast!, but  many people in the virus/spyware forum are very pleased with it as well.

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Windows XP SP2 also has a built-in popup blocker option available there.... just make sure you've turned it on.