Hmmm,

1. You must keep the OS up to date.
2. Use an AV and keep it up to date
3. Use a firewall and keep it up to date.
4. If your e-mail has "preview" turn it off (it launches malware)
5. http://www.winpatrol.com
6. http://www.diamondcs.com.au/index.php?page=products There are some nice free tools on that site

RegistryProt and WinPatrol will give some protection against nasties trying to install and register themselves.