I know how people often fall foul of viruses when running .exe's which they may of downloaded.

One tool I found which I like a lot is called Sandboxie. What it does is allow you to run the application, but no permanent changes are made to your computer, the app is ran inside 'quarantine' and so if there are any nasties contained within it, hopefully using this application will save you.

Bestthing I've found is that it's really easy to use. After you've installed it, you just right click on the application and select to run it in sandboxie, then carry on as normal.

Worth a look if you tend to run applications from sometimes untrusted siurces.