For starters, the use of commonsense is a must - plus the avoidance of the danger-zones (especially P2P file sharing; Torrents, Limewire, etc - but also including porn and anything remotely illegal or dodgy).
Good AV software - preferably a top-rated *commercial* one. ESET NOD32 and Kaspersky AV are my two top recommendations (and are generally considered 'the best'). Avira AntiVir *Premium* wouldn't be a bad choice either - but is prone to false-positives. All three have been named by av-comparatives.org as "AV of the Year" at some stage in the last 5 years (NOD32 and Kaspersky twice). If I *had* to go for a free one, the only two I would consider would be Avast! Home Edition or Avira AntiVir Personal. Take note though that all the freebies (including Avast and Avira) are incomplete one way or another (for example, according to the *official* AVG website, AVG Free includes no anti-rootkit or a web shield; and according to the *official* Avira website, AntiVir Personal includes no 'WebGuard' or 'AntiDrive-by').
Stand-alone anti-spyware protection (separate from an AV) is a very good idea. The commercial versions of Malwarebytes' Anti-Malware and SUPERAntiSpyware (Pro) are both very good and light on system resources. My choice for real-time spyware protection would easily be between these two. There are free versions available of both - but neither include real-time protection. However, I'd still keep the one I didn't purchase and use it for 'back-up' scans to help ensure nothing has slipped past my real-time protection.
I use Mozilla Firefox - it is a good choice for a web browser. There are some very good add-ons for Firefox to help keep you safe on the net. These include:
- NoScript (which is very good at blocking script attacks/threats - a *very* common source of infection).
- Adblock Plus (which is very good at blocking ads and pop-ups - another common source of infection).
- Web of Trust (which helps alert you to known 'bad' sites).
I ensure that all of my third-party programs are up-to-date with the latest versions and/or patches. Some malware writers target old, insecure programs as a way to get their bad-stuff onto a computer. Keeping all your programs up-to-date helps lower the risk of some infections. Secunia PSI is very good at helping you do this - and it's very user-friendly.
I also ensure my Windows receives all of it's available updates -- especially considering the majority of malware is written to exploit Windows -- I want any known vulnerabilities 'patched' as soon as possible.
EDIT:
Linux and Macs are safer to use and far less prone to infections as the majority of malware is written to exploit Windows operating systems; of course, that's not to say that Linux and Macs are immune by any means.