Prevention is better than a cure, and that's certainly the case where spyware is involved. There are some simple steps you can take to minimise the risk of spyware infection.

Although Internet Explorer zones aren't a reliable security mechanism, they do provide some protection. Place the Web sites you know and trust into the Trusted Sites zone, and increase the security on the Internet zone. Internet Explorer uses the Internet zone for any Web site that isn't listed in one of the other zones; therefore, its security settings apply to the majority of sites you visit.

As a minimum, make sure all the ActiveX and Active Scripting features are disabled. If practical, consider switching to another Web browser such as Firefox.
Although Internet Explorer is probably the worst culprit, all Web browsers have security flaws so it's essential you stay up to date with security patches.

Apart from being essential, if you're directly connected to the Internet, a personal firewall can act as an early warning system against spyware that communicates home. Active Ports can be used to monitor network connections; most personal firewalls do this in the background and alert you when a process tries to connect to a remote computer.

There's a huge selection of personal firewall software to select from, although the best of breed are generally considered to be ZoneAlarm and Kerio Personal Firewall (formerly known as Tiny Personal Firewall).

Although antivirus software isn't designed to catch spyware, most desktop packages catch the methods spyware uses to infect your computer. This mainly happens through the Web browser cache -- when your browser downloads a Web page and stores it on disk, antivirus software intercepts the page as it's stored and analyses it for viruses. Many JavaScript security exploits are categorised as viruses, so your antivirus software can also act as a warning system.

Spybot can immunise your system against spyware. By setting various Registry keys and creating dummy files, Spybot immunisation can fool a significant amount of spyware into thinking it's already installed, preventing it from really infecting your computer. Spybot also includes a BHO that watches Web page requests within Internet Explorer. If it detects an attempt to load a known adware-based usage tracker, it will prompt you whether you want to allow it to continue.

Making regular backups of your system is a good idea anyway, but has the added advantage of letting you restore a previous, spyware free configuration in case your computer gets infected. Windows XP Restore Points are also perfect for rolling back to a clean version of your system. In Windows XP, select Start > All Programs > Accessories > System Tools > System Restore, and then follow the instructions. CNET's Backup roundup provides an excellent review of the available options.

Although this won't prevent some types of spyware from infecting your system, most proxy servers can scan content before downloading it. This lets them trap malicious Web pages and usage trackers before they reach your computer.
As an added bonus, all your Web browsing will appear to come from the IP address of the proxy server -- considering most proxy servers provide access to hundreds of users, usage tracking systems will be mostly avoided. There are plenty of anonymous proxy servers available for your browsing use.