You need proactive measures to stop it happening in the first place....
The first two should be part of everyones armoury
Spywareblaster:
http://www.javacoolsoftware.com/index.html
Spybot:
http://www.proxomitron.info/ enable advanced mode, turn all the options on and enable teatimer. Note, this will cause a few action windows requesting your input.
AV.... I recommend Eset Nod32.
Firewall.... I use Agnitum Outpost. It has plugins for Malware filtering, ads, attack detection etc. It has one major fault that only applies in certain circumstances, but I can't be swayed from It's "active content filtering" plugin. So far it appears unique, but what it does is allow you control over what is accepted, on a site by site basis. Superb
Again, causes major interaction until your settings are known.
Of note, is that this adds an extra to IE to give drag and drop control over popups and stuff.
More?
IEspyad:
http://www.spywarewarrior.com/uiuc/resource.htm Sadly now getting out of date, but a marvelous addition nonetheless.
Hosts file.
http://www.mvps.org/winhelp2002/hosts.htm
Another layer is allways welcome, right?
Proxomitron:
http://www.proxomitron.info/
An on board web filtering proxy. Stop javascript, spoof your OS, choose alternate proxies, browser etc. Indespensible!
The real culprit..
Set your IE settings appropriately:
In control panel/IE applet/security settings:
Automatic prompting for activeX controls. Click enable, or the blighters download without asking.
Automatic prompting for file downloads. Enable
Software channel permissions. High safety.
Allow paste operations via script. Unless you want certain sites to copy your clipboard... Disable. (can you believe allow is the default!!)
The rest you can leave as is, or prompt, though you will get prompts.
Go back to the applet pick "advanced".
A couple of things.
Any "install on demand boxes should be unticked.
"Do not save encrypted pages to disk" A privacy issue. ticked.
If your browser doesn't do it, tick the "empty temporary internet files folder blah blah" option
I use all the above.
Finally, the browser. Your choice. IE is a perfectly capable browser, but it lacks the control other browsers have.
Phew! If that doesn't help you, disconnect from the net.