On top of action-radius suggests, it is also a very good idea to ensure *all* your programs are up-to-date - especially things like Flash and Java. Download Secunia PSI to help you here - it does a very good job of tracking down the latest updates for all your third-party programs and is quite user-friendly.
http://secunia.com/vulnerability_scanning/personal/
If you don't use it already, I suggest downloading and using Firefox as your web browser. There are some very good add-ons available for it.
Firefox: http://www.firefox.com/
NoScript add-on - probably the most important add-on you should consider. NS blocks all scripts and active content from running (a very common source of infection) and gives YOU control over which scripts YOU want to allow.
https://addons.mozilla.org/en-US/firefox/addon/722
Adblock Plus add-on - blocks ads and pop-ups - another common source of infection.
https://addons.mozilla.org/en-US/firefox/addon/1865
Web of Trust add-on - helps warn you against malicious web sites.
https://addons.mozilla.org/en-US/firefox/addon/3456
EDIT:
SpywareBlaster will also help block some dodgy sites and other crap.
http://www.javacoolsoftware.com/spywareblaster.html