Mucho Importante: uninstall any old anti-malware program(s) that have similar functions before upgrading or replacing them with a new one. Don't say I didn't warn you. ;-) [McAfee removal tool]
First, install SP3 for Windows XP. It adds some good early-warning protection. That is, if you actually pay attention to the warnings that will pop-up. Don't let your normal reaction to ordinary pop-ups make you click a choice too quickly.
I have used CounterSpy by Sunbelt Software as my anti-spyware program. It is effective, non-intrusive and inexpensive. Microsoft's Windows Defender is a reasonably effective anti-spyware program. [other recommendations]
The tutorials at bleepingcomputer.com are a good way to learn about installing and using anti-malware programs. They'll give you a good idea of what's involved.
Anti-malware programs can be quite confusing the first time you use them. Don't let that stop you. Use the program's Help file, get someone to help you, or get more information at our spyware/malware removal page.
First, put the steps in the "basic" defense (above) in place.
Next, augment the basic defense with a better anti-spyware program. See my specific recommendations at the "anti-malware" page.
For the ultimate protection, run your computer in a Limited account -- not an Administrator account. This will neutralize most current and future threats, because Limited accounts do not allow program installation. That means malware can't install itself either.
Put the steps in the "basic" defense (above) in place.
Augment the basic defense with a better anti-spyware program. See my specific recommendations at the "anti-malware" page.
In addition, add Trojan Hunter to your defensive software. Some Spyware and Trojans are hidden deeper, and are tougher to remove than other malware. You need special purpose software to root them out. Experiments have shown that no one program finds everything, so it's wise to double check even these two top programs with Ad-Aware and Spybot S&D.
AVG Anti-Spy and a-squared are free alternatives to Trojan Hunter. Both have received favorable reviews online.
You could also add intrusion prevention software. Microsoft AntiSpyware is good in that role, but DefenseWall HIPS, Prevx Pro or BlackICE will add a layer of powerful protection.
For the ultimate protection, run your computer in a Limited account -- not an Administrator account. This will neutralize most current and future threats, because Limited accounts do not allow program installation. That means malware can't install itself either.