I wrote an article back in June for the readers of the fanfiction site I maintain, Henneth Annun Story Archive. The topic of the article is how to quickly and effectively configure your PC and browser to give you a fighting chance against the malware and nosy advertising firms. I wrote it to combat the rampant fear mongering in the computer world where it is more important to seem hip and cool by bashing Windows than it is to present practical information about how to avoid 99.9% of the trouble.
It is fairly comprehensive, with an explanation of how exploits happen and then a walk through of securing your computer, complete with screen grabs and helpful links. It is for Windows users running at least XP SP3, and discusses the two most popular browsers, IE and Firefox.
While you can jump right to the browser settings, I encourage you to go through the whole thing and build your security from the ground up. I spend time debunking Conventional Wisdom (just as moronic in the computer world as amongst the denizens of Versailles) and do my best to explain both how to get something done and why its a good idea to do so.