If you run XP, it is a good idea to setup a restricted account, and use that to surf the net. In fact, I highly recommend that you go into your administrator account and give it a password, then log into that account and from it, go into your main account and demote it to restricted. PLEASE please set a password! The reason that these programs install on the fly is primarily because you are running with full admin rights and you have no password. As a network admin and using nothing but an XP box, if I know your IP, you are on broadband, and you are running as admin with no password, I can get into your PC with no effort, and so can these malicious viruses/spyware/malware.
If you ever need to run a program with admin credentials, just right click in the program select Run As, type in the name of the account (presumably administrator) and the password.

If you are using Vista, do the same thing, but keep the UAC on. Yes, it's a pain, but it's there to protect you.
I am using Windows 7 and I love it. The UAC is much easier to control (in Vista it's either on or off), if a program needs the admin password, it ASKS you for it and so far, I have not had any problems with it.
Good luck!