Based on what I see in the forums, most of the malware infections are due to computers that are not properly updated -- and this is not limited to Microsoft software. It is very common to see out of date, vulnerable versions of Sun Java and/or Adobe software.
To check if your system is missing security updates or has insecure applications installed, visit Secunia Software Inspector. The Secunia Software Inspector runs through your browser with no installation or download required and does the following:
- Detects insecure versions of applications installed
- Verifies that all Microsoft patches are applied
- Assists you in updating your system and applications
Then, take Austin's advice and
"follow the Protect Your PC guidance of keeping the firewall turned on, keeping the operating system up to date, and having up to date anti-virus and anti-spyware software."