Seriously, if you're a geek you already know this, but if you're not, its even more important. Protect your computers! (see what I did there?) This is the way, better men than I, would recommend you to do it.
You need to start right here. Some of this stuff sounds scary, like Anti-virus, firewalls, cookies, tracking cookies, but don't worry, this should get you through it.
Out of all that, this is what you need to know. And of course everything here is free of course.
1) You need an Anti-virus program. As in just 1! I recommend Avira AntiVir.
2) You need a Firewall. Specifically this one.
3) If you're going to be downloading anything here, get this. It cleans temporary files and cookies you don't need or use and can seriously free up memory. It's awesome. That's all you need to know.
4) Spybot - Search and Destroy and SpywareBlaster. As well as sounding like bad video games, they also are really meant to prevent spyware/malware and viruses. They can be found here and here.
Really everyone should be informed as to how to protect their computers even if you're just an average, or even below average user. You should use all the programs, ideally twice a month, if you're a below average user at least once, and if all you do is download crap then it doesn't hurt to run everything every week.
Safe Surfing Everyone.
Special thanks goes to Porky for the wicked awesome recommendations.