The idea is this.  Do high risk activities on a VMmachine.  If it gets infected, revert or delete and start over. 

VMware has a couple of free products. 

VMware Player is the easiest one.  You can run pre-made VMmachines like the Browser Appliance.

VMware Server is also free.  You need to register to get license keys.  It has some additional functionality above the Player.  For example, you can create one snapshot for each VM.  I recommended VMware Server.  It is free and has more capability.

 After you install VMware, the next thing you need is a virtual machine.  You can create one or use a pre made appliance like the Browser Appliance.

 If you are browing to some web sites you don't trust.  You can start up the Browser Appliance and surf from there.  This is a linux based Virtual Machine (VM) with Firefox. 

Worried about bookmarks?  You can use del.ico.us to have centrally managed bookmarks from all the computers you use (real and virutal).  With delicious, you can create a bookmark on your PC and then use it from your Browser Appliance.

Do you have some software you are installing and your not sure if you trust it?  Install it on a VM first and make sure it doesn't do anything mailicious.  If you want to run XP on a VM, you need a separate license for it.