If you are using Windows XP, you may worry about spyware being installed while you browse web site hosting malware. This article
http://www.wenpoint.com/securityinfo/quicktips/safely-surf-internet.php
teaches you a method to use Virtual OS as quarantine to browse unknown web sites.
If you are using Windows Vista, UAC can give you protection. However spyware can still be installed to temp access area,