Keep antivirus software current. Regardless of my opening argument, generalized antivirus software is still a great way to protect your system. Make sure your antivirus software definitions are updated frequently - and if possible, automate the process. Keep your browser current. Both Microsoft and Netscape release interim bug fixes every few months.
Most updates close the security holes found during the preceding weeks.
Check your browser vendor's Web site and install updates. Don't open files with embedded macros. Most new versions of Microsoft Office warn you if the file you're attempting to open contains a macro. Unless you absolutely expected the document to contain macros, choose to disable the macros as you open it. Decrease the effects of active content in your browser.