There has been a real buzz on the inter-tubes recently about a virus going by the name of Flame. Actually, 'virus' doesn't really do it credit. This thing is massive - for malware - coming in at around 20MB and sends all sorts of information back to locations undisclosed. It seems to be aimed at Middle East countries and is realistically unlikely to bother you. Still, it does raise the issue of how these things spread.
We've covered the importance of running an up to date antivirus program before. In addition to that is one other line of defence...common sense.
Viruses and malware have one barrier to get on a modern operating system. They have to get your permission to install. Of course, if it said 'Hi, I'm a virus. Can I install please?' you would quite rightly say 'Kind offer, thank you, but no.' So instead they take the guise of valid, useful software.
If, out of nowhere, you get told that you have a virus by software other than the AV program that you installed, then that is probably malware itself. It's purpose? To convince you that you have a virus that only it can uninstall for the bargain price of £x. After purchase it tells you what a good job it's done, having done nothing. And you're £x out of pocket. And no-one has £x to give away nowadays.
Or your web browser informs you that you have to install a small program to view this web page. 'Just say yes and everything will be fine' it says. Alarm bells should be ringing. Loudly.
The only software you should give permission to install is software that you are 100% confident you want installed. Do your research. Should I install Flash? Java? A 30-second check through Google reveals that all is well. Power Antivirus? Sounds good, but a moment's research reveals that you would be in trouble if you let it in. The time you spend beforehand will pay off in spades compared to the time it would take to get an infection out.