* Don't click on links inside popups.
* Don't click on links in spam messages claiming to offer anti-spyware software; because most of these so called removers ARE spyware.
* Download free software only from sites you know and trust. Because a lot of free software can bundle other software, including spyware.
* Be careful when watching online videos, especially when they ask you to install a certain codec to watch the video. By default, your mediaplayer should already have the necessary codecs installed to watch online videos. In case you're prompted to install an additional codec while trying to watch a movie online, it may be a false alert and this so called codec may install malware. More info here and here.
* Don't install plugins (ActiveX) if you're not certain what it is or why you need it.
If you want to install certain software, always go to the developer's site to download the software from. Then you can be sure you're downloading and installing the right software.
Beware of the fact that certain software (especially freeware) may contain/bundled with extra software including spyware/adware. So only install it when you're sure they are OK.
Read here for more tips about safe downloading.
Also read this article about the risks of using P2P Programs.