Always remember these rules, they highly mitigate malware infections chances:
1. pay max attention to what you download & install. Avoid to install accessory and unwanted 3rd party toolbars etc. suggested by some installers.
2. NEVER disable UAC on Vista/Win7+. Best to set UAC at max level, not leaving it at default. Yes, will ask for more admin actions confirms but you'll have control over what you run with the highest privileges (i.e. requests will pop-up when these applications ask to manipulate Windows registry and system installation directories so better be safe and force a confirmation requester).
3. use always a sandbox protected browser with UAC on: IE9+ or Chrome. Firefox and the others still don't have a protected mode so they are potentially much more unsafe.
4. highly suggested to disable JAVA browser plugin, often used as vehicle to download and execute remote malware visiting a simple web site. Here is the how-to: http://www.java.com/en/download/help/disable_browser.xml
5. keep flash-player always up-to-date: check here http://www.adobe.com/products/about-flash.html
6. keep your programs up-to-date. New versions often mean "safer" and bug-fixed.