Here's another nice little utility that can make for much safer web browsing. Sandboxie runs programs in a sandbox. This means that the program you're running doesn't interact with your computer. Everything remains in the sandbox.
This is a nice add-on for your web browser. If you run it sandboxed, then any spyware or viruses that infect you via the browser will remain in the sandbox. They will not affect your computer and can be deleted along with the sandbox when you're done.
There are many potential uses. You won't have to fear Active-X controls, for instance: they can't do any damage to anything but the sandboxed program (and which is easily deleted if there is a problem).
If you do want to keep a file, Sandboxie lets you do this, but it always requires a confirmation on your part. Nothing will be put onto your computer without your knowledge.
An impressive little program.