Avoid certain P2P file sharing programs and networks if you want to keep spyware off your computer. Since a lot of these P2P filesharing programs are free, the only way they can make money is by data-mining, that means mining your data. Often times they install a program that simply monitors the keywords or tracks your website usage, sending valuable (commercially viable) information back to their servers. One P2P filesharing program that I use is Ares. No spyware there.
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Stay away from toolbars if you want to protect your computer from a spyware infection. Some of the lesser known toolbars are actually data-mining programs that send your traffic information back to their creators, which is then sold to marketing strategy firms to help them form a better ad campaign. If you're sick of being targeted by this kind of spyware, don't install programs like Mywebsearch toolbar, Cool web search, or any download accelerators.
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Stay away from any popups or windows that offer to scan your computer for spyware. Anti-spyware ads are a clever new tactic carried out by spyware vendors. Honestly, this is genius, because I imagine a lot of naive people see a window like that popup and think that it's their computer talking to them. Well, guess what, it's not. Don't click on those things, for chrissakes!