Fighting with Windows seems to be a continual battle. I'm used to other personal computers where the entire thing was always under my control, and I'd have to go out of my way to let something else get its hooks into it. But Windows is content to let complete strangers do anything with it, almost no questions asked, except when it comes to getting it to do what you want.
While fixing up a friend's broken computer I encountered an annoying problem with “Spybot - Search & Destroy” reporting it found a DSO exploit each time you ran the program, even though it'd supposedly fixed it the last time. So I trawled the net trying to find out what the registry key was that it was upset about, wasn't satisfied by what I found (very little by the way of explanation), so I wrote a page about it, here. Hopefully the next person concerned about this issue won't feel like they're about to do something dodgy to their computer while fixing this problem.
There's an important thing to note regarding fixing up computers: There's no guarentee that you can cleanly repair a system that's been compromised.
Anti-spyware, anti-virus, anti-trojan, etc., software solutions are developed after such things are discovered, so you can get infested by them before they're detected. By then it may be too late, and none of the protective software detects 100% of what might attack you, anyway.
You need to be aware of that, and place yourself as the first line of defense. Don't let things do what they want to your computer, without due consideration of whether it's a good idea. For instance, you probably don't need something that some strange website insists that you need to use their website.
There's two ways for your system to get infected: An intruder finds a weakness in the system and exploits it, or some malcontent exploits a weakness in the user by fooling them into infecting themselves. You can minimise the risk of the former by keeping your system up to date, getting rid of lame software, and by using a firewall to help protect you against any other faults in your security. The latter is up to you to be sensible when using your computer, and learn what you're doing.
How to not get infected:
Don't use pirated software. Pirates don't care about the software creators, why should they care about you? (This includes not using tools provided by pirates to crack legitimate software—they can include malicious software in those cracking tools.)
Be cautious about the software that you do download. Do some research on it before you install it, check for whether anyone found problems with it, and be aware that con-artists do post fake endorsement messages.
Only install what you need. You probably don't need half the cool-sounding things that you find on the net, and undoing the mess that they may make can be a difficult task.