Step 1. Turn Security WAY UP

Tools | Internet Options | select the Security tab | Move the
" security levels for this zone" to HIGH

Step 2. Turn off and Delete All Cookies.

The first thing you should do is clear out all your cookies.
Tools | Internet Options | select the Privacy tab | Move the slider in the Settings area to a higher level of security. Keep in mind that if you block ALL cookies some sites will be limited or even unaccessable.. but you can always go back and change it.

Limiting the number of cookies you except can increase your privacy

Step 3. Disable Java and Active X

THIS IS PRETTY EXTREME. YOU WILL NOT BE ALOWED TO LOG ON TO WEB BASE EMAIL ACCOUNTS AND OTHER SITES REQUIRING A LOG IN. BUT YOU WILL BE ABLE TO SURF. I personally Can not use this because it is TOO restricting.
Jave and Active X are know as mobile code because they download software from a remote source (or run from a remote source) to your computer. Some of the most effective malware are mobile code.
Tools | Internet Options | select the Security tab | Select the "Costum Level" button which will open up "security settings."
Once in Security Settings disable everything under "Active X" and "Scripting."

What I do is Highten the Security Tab and use Internet Explorer as little as possible. I use Firefox. It is also very important to update these (and all other applications) with the latest patches. This, combined with my router firewall, seems to work really well.

Neither Firefox or Internet Explorer are secure if you don't take the appropriate measures.

If you do use cookies you should delete them all about twice a week.

http://elamb.blogharbor.com/hacked/igothacked.htm --> get rid of malware
http://elamb.blogharbor.com/broadband/broadband.htm --> secure your broadband connection