Keeping your system and application uptodate is your first defense; Are you conservative?
I blogged before that we must NOT be conservative because malware don't. Malware nowadays is using new tricks to infect users. There are times malware will use old and new tricks. If you are conservative** you are at risk.
Alex Eckelberry blogged before a spyware keylogger that were uncovered by his team (Sunbelt’s Research Team). They have been finding Winldra variants and he said you are nuts if you do not want to upgrade your system to Windows Service Pack 2. Why? Simple. You're at risk without SP2.
**whenever I'll write conservative here -- I mean you are the type of user who want to stick with old system, old version application, unsupported application, prefer not to upgrade
Your first defense is keeping your system uptodate - visit Calendar of Updates ;-)