Some notes:
- Get a decent firewall software. [ZoneAlarm for example]
- Buy a decent AV software. [One of the best is: Kaspersky AV]
- Try not to visit warez/porn and similar sites.
Profit. 
Don't get me wrong, the basic idea is nice, but I have some issues with this:
- ZoneAlarm isnt really all that much of a "decent" firewall. I mean, it's alright, but there have been several gripes with it, and I'd probably pick something else right now. Get some recent firewall review/ranking thingy, and go from there. If I remember correctly, the free version of "comodo" works alright and gets good reviews for quite some time now.
- Decent AV software doesnt need to be bought. Paying for AV is a bit of an "idiot tax". Seriously, go to a computer store, and look WHO is actually buying AV software. It's usually people that dont have a clue about their computer. The ONLY reason to actually pay for AV software is if you use it commercially, I believe there is no free AV software you're allowed to use on computers you use to make profitz with. Personally I have been very satisfied with
http://www.avira.com/en/pages/index.php but that doesnt mean anything. Again, recent reviews are probably the best bet.
- and when you have a decent FW and AV, you can even visit warez and porn sites (SERIOUSLY!

what would I do without them?!?!) You just have to pay a little bit attention. You don't let ANY site install ANYTHING.
Really, it's kind of hardish these days to even catch something (*knocks on wood*). My computer is fucking around the net like a cheap 5 dollar hooker, and it's still doing very very fine. I think it's the longest running windows installation I ever had, and apart from those aforementioned basics, all I had to do, is not to click "Yes" when the random exe (Zango bullshit anybody?) comes creeping about.
Oh, and even more important than the already mentioned things:
keep windows up to date and patched at all times. Before you even start surfing, patch it ALL up to newest. Otherwise, you might as well keep the computer offline or throw it away.
Another thing that I found useful at times is "Windows Defender" btw. In case the microsoft site is giving you crap, lemme know, I probably can throw an older installer on rapidshare or something, even if the software isnt up for download on microsoft.com anymore (dont know) it's gonna update itself properly.
Oh, and sniperjoe, if you still get this weird script error message from jl.chura.pl... I'd really consider a proper purging. Nuke the friggin HD from orbit (i mean... just properly reinstall windows)... there IS something fishy. Take care that the data you keep isnt somehow dirty.