In today's world it is very important to protect your computer against unwanted programs. The three common ways these programs get on your machine are hacking, SpyWare, and viruses.
Hacking can occur if your machine is on the Internet and is not protected with a firewall of some sort, whether it be software or hardware. If you do not have a firewall I would suggest
Sunbelt's Personal Firewall.
It has won awards, is small and fast, and if you don't need support or lots of options you can run the basic version for free.
SpyWare is a type of program that gets onto your machine and causes it to do things that you don't want, like send information about your web browsing habits to someone or cause your browser to go to places that you didn't tell it to. Spyware is one of the main causes of unexpected pop up advertisements. Currently the best program for scanning and removing Spyware is MalwareBytes AntiMalware.
You can get the free version here. Just remember to update it every day.
Finally there are viruses - it used to be that the only way to get infected was to open Email from someone you didn't know.
Unfortunately this is no longer true - you can get infected by simply being on the Internet nowadays.
The best protection against this is to install an antivirus program and make sure it is up to date.
People ask me for recommendations all the time. While there is nothing out there that is perfect, my two favorite Antivirus programs are Vipre, by Sunbelt software and NOD32 by ESET. Both offer 30 day free trials so you can check them out for free before deciding what you like. Personally I use Vipre on all my home and office machines.