^
Sadly, you will never be able to catch them all.
One thing I highly recommend is installing an IP blocker like PeerBlock (which is what I use). Basically, it has a list of IP's and prevents them from gaining access to your computer. Not only is this effective in blocking most known malware/spyware, but it also conveniently blocks government and *ahem* RIAA IP's, so you can download music to your heart's content without ever really having to worry.
I keep PeerBlock running 24/7 and running this with an everyday antivirus program has done wonders. I haven't had a single problem yet.
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Confusion will be my epitaph...
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