IE

Okay this one is a break from the focused objective.
Ideally I will only discuss tools that are free and replace the usually inferior native tools in Windows.  Sure, sure, I already mentioned Microsoft Security Essentials, but that is not technically native, it is a separate download.

But it is time to talk about Browsers, and honestly I have to include IE in the discussion.  Despite its reputation IE has come a long way and the last couple of versions have actually been climbing the secure browser rankings.  The biggest single flaw in IE is still ActiveX.

While IE is not my personal browser of choice there are some services that just run better on it.  This is and will hopefully continue to change with the broader adoption of HTML5.

As the OS gets more secure and as more OSes gain larger market share and as more services turn to web based models more attacks are targeting the browsers.  The average user probably does more on their device from a browser than any other application.  Thus browser security is paramount.

While IE is lacking in the add-on department there are some options to consider.

Tracking Protection - Currently there are 11 options from 7 different companies.  Review which one fits your needs best and start regaining some of your privacy.

InPrivate Browsing - This effectively disables local logging of internet activity.  Keep in mind any other logs by your ISP, the remote web server, search engine, etc. are still collected and stored remotely.  If you want to flush your cache after a session start by using InPrivate Browsing.

ActiveX Filtering - Enable this one.  Read up on some of the additional options for ActiveX under Internet Options.  The extra prompts may save you from some malware.

Smart Screen Filter - This one is manual and has to be initiated by the user (you) for each page you want to check.   Play around with it.  Run it on sites you have not visited before.

Here is another blog with a round up of security settings for the big 3 browsers.

Remember a browser is just another tool.  It is how you use it that makes it safe or unsafe.
These things are designed to work out of the box, and most people never scratch the surface of their browser options.