Best ad removal software available (free version is all you need).
Ad-Aware 2008 Free - Lavasoft
You should ALWAYS run a firewall. Windows firewall is rubbish. Get Zonealarm free and run it on every pc and laptop you have.
Firewall Freeware, Free Firewall Protection Software, Firewall Shareware: ZoneAlarm® Free Firewall Software.
You ONLY need to run avgfree if you download software from torrents or install messenger type of applications (that are as bad as spyware) or download random executable programs from the net.
AVG Free - Download installation files & documentation
If you dont download applications and general internet 'crap' with an aim to running it on your pc, running antivirus software will make your pc run on average about 30% slower than its normal speed. Copying files and unzipping files etc will all take longer if you run antivirus too.
So. Install zonealarm and run it on everything. Make it block anything you don't know, think looks dodgy or zonealarm tells you to block. If you are unsure, zonealarm will tell you what it is so you can decide if you should block it or not.
Periodically run adaware (linked above). Don't have to worry about cookies at all, they are just small text files that are only used for tracking. Nothing malicious will live in them. Look out for registry keys, exe files, spyware apps, grayware, malware etc etc
If you REALLLLLLLLLLY must download internet crap and run it. Run avgfree on it before you even click on the downloaded file. If it raises any concern, delete the file.