I don't recommend software lightly.  Some of my "must-installs" when I build a fresh machine are, of course, Anti-Virus software like eTrust, Panda or Norton and ZoneLabs' ZoneAlarm a MUST-HAVE software firewall

To this list, I add AdAware 6.0 (free!) .  It's a much improved version of AdAware 5.3, and includes automatic reference file updating. 

Simply put, AdAware detects and yanks SPYWARE including tracking cookies from such evil bastards as DoubleClick and Gator. You will be SURPRISED the crap that can get on even a savvy user's box.

Remember my friends, Scott's C.Y.A. 1-2-3:

1. AntiVirus Software to protect against evil software written by evil people to do evil
2. Firewall Software to protect against evil people with evil software trying to get your computer to do evil
3. AdAware to protect against quasi-evil marketing people with potentially-evil data-mining spy-software trying to collect personal data on the evil that I do on my personal computer in my personal time for my personal reasons