The best way to protect yourself is to only download and run programs that are written by people or companies that you know. I think that it is generally a bad idea to download and run a lot of programs from places like download.com or similar sites. The reality is that you don't know what it is that you are getting, so unless you are willing to assume the risk then you shouldn't use those services.

What I do when I download a program that I want to test is to run it on a small PC that I have set aside for testing purposes. When I say small I mean a P1-166. If I can open it and it doesn't crash the box or attempt to connect to the internet then I usually trust it. If it does anything that I feel is malicious I normally reformat the drive and reinstall Windows on it.