Sometimes, when browsing around the internet (and more so if you use Microsoft's Internet Explorer on the default setting) some websites will try (and sometimes succesfully) to install small programs without your permission that keep track of whatever tasks you do on your computer and send the gathered data to the program's owner (these kind of programs are called "spyware"). This data is usually sold afterwards for marketing purposes. Sometimes, when you install free softwtare downloaded from the internet, you also install these spyware without knowing it (on the User Agreement they sometimes refer to it, but in a pretty obscure way).
Although the end itself of spyware is not that bad (when a company knows your preferences, they can offer you a better service, in theory), most of them are poorly programmed and will take away some of your computer resources and your internet bandwidth. You also have the risk that you don't know exactly what this spyware is sending away (it could be some sensible data or something that you wouldn't want others to know, like credit card numbers), so in most cases the best thing to do is to get rid of it. I use both
Ad-aware and
Spybot search and destroy, which look for spyware in your computer and delete it (make sure you update them frequently!).
I know a lot of people that complained about their computers getting slow and cranky and thinking that it could be a virus, when the actual problem was that they had HUGE loads of spyware that were slowing their computers down. Getting rid of it would in most cases solve the problem. Also, if you don't want your computer to be vulnerable to get virus, spyware, and other bad stuff, just follow these steps (assuming you're using Windows):
1) Use Windows Update ("Start","All programs", look for it on the top) at least once a week. From there you will be able to download most security patches for windows (it's pretty easy, you only have to follow the instructions and click).
2) Change your Internet Explorer settings (from IE go to "tools","internet options","security", change it to "high" or personalize it to shut down ActiveX) to make it more secure. Or better yet, use another browser (
Firefox is becoming popular, but I prefer
Opera).
3) Update and use anti-spyware software at least once a week.
4) Use your common sense: don't install any programs that you don't know what they are for, don't open any emails from people you don't know and/or have very generic subjects and/or have strange files attached, etc...
5) Get a Mac. Or install Linux. Or something else: if you use a pretty weird operating system that nobody has ever heard of, then you're cool in my book

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I've been following the first 4 steps for more than 5 years and I've never caught a virus (I don't use any antivirus, I don't really need it).You only need to learn these few tricks to manage your computer properly and never have any problems

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Well, last summer I caught that Blaster thingy... but I got rid of it very quickly and updated Windows, so it doesn't count, right...?