There are a number of ways spywares can get into your pc.
1) Bundled with legit softwares - be careful with this, always check out the EULA if it mentions anything about an "additional 3rd party component". Usually thats all they need to waver off any complains.. coz you agreed to the EULA.
2) Downloaders & Droppers - malwares also download and drop different kinds of other malware or variants of itself. Just coz you let one file in, doesnt mean it wont be 50 within minuts.
3) Drive-By - this is the hardest one to avoid, as it infects you while you are surfing a website or such. Usually a link is scripted to take u to the page that you clicked and at thesame time download a tiny malware that will either download or drop other components.
4) ActX, Java, Web Scripts - I think this also comes down as Drive-By's, only difference is in some cases u are informed of a download, or request for authorization. Only difference with Drive-By is that in Drive-By's it totally happens in the background.
5) Missleading files/apps - some malware do pretend to be something legit looking. ie. a "tool" that does cool things like gives u "faster" internet speed, or gives us some monitoring gadgets so u can monitor ur pc's activities, and such.
So to protect urself,
1) Be weary on what u downlaod or click on... or sites you visit.
2) Get some decent firewall, be weary on what application is openning connection to ur pc.
3) Get some Anti-Spyware and AV
4) Make sure that NO file is hidden from you. Try to view as much as you can.
5) Make image backups (if you have this privilage). ie. ghost images.
6) Keep yourself informed on the latest threats
7) Get yourself familiarized with your files and registry so you would know what to look for.
8) There are some great tools out there like HijackThis, Proccess Explorer, TCPView, RegMon, FileMon, IceSword, RootkitRevealer. (IceSword is good, nothing can hide from it, even rootkits)
I hope this would be enuff... I know there is more to say, but this is all i can think of for now.
