Protection software and tools to protect your computer:

To be protected, keep your operating system updated! If you have Windows
go to http://windowsupdate.microsoft.com

And, Windows XP Documentation Update Can Help You Understand How to Make Your Computer More Secure

Use a firewall:

There are some free ones:
http://www.zonelabs.com
(click on free download link)

Use an updated antivirus program:

This is the best free antivirus on the net. AVG free antivirus is better than many of the commercial versions from Best Buy and so on. This antivirus can be updated for free which is the biggest advantage of this program. There are thousands of new viruses every month; if you have a 2003 version of any other antivirus and you think you are protected, you cannot be more wrong. One of my favorite antiviruses was Norton, until I had a problem. Norton could not fix it, and I didn't want to pay for the
upgrade, so I did a little research and tested several trial versions of different antiviruses until I found AVG. That was the end of my research. All you need to do is register and download the program. Then they will send you the serial number in a second email.

Use free spy scanner software:

Ad-aware: http://download.com
(search for "Ad-aware" to get the latest one) OR
Spybot: http://download.com
(search for "Spybot" to get the latest one)

Be invisible

Anonymizer 
Lets you surf the Web without leaving a trail of personal information about yourself. Unlimited free trial access. You can either surf anonymously via the site's online version or you can download the free version of Privacy Button.

OR

MisterPrivacy.com
Protect your online privacy. This is a free service that lets you surf the Web anonymously, also helps protect you from various harmful scripts, banners, cookies, Web viruses, worms, and more.