Disable CD auto-run - The kids may have to find and click on something to play their games, but this 'feature' can be more trouble than it's worth. If nothing else it may stop you playing 'protected' music CDs on your PC. It's a bit technical this one as it involves the registry.
Get a firewall - The free Zonealarm software sits between you and the great wide internet, checking for naughty behaviour. The best option is to have it tell you each time a new program tries to access the internet. This should stop software installing itself and getting up to no good. It also makes you invisible to any nasty crackers (hackers are not bad people).
Install a virus checker - AVG is free and seems to do the job. Make sure you set it to get regular updates.
Don't use IE or Outlook Express - There are some very good products from Mozilla that let you surf the web and read your email without attracting every worm, virus or other bug that's out there. They also offer a lot more in the way of spam filtering and pop-up blocking.
Check for spyware - All sorts of apparently useful or fun software also installs other, less friendly, software that may monitor your surfing and bombard you with adverts. Ad-Aware detects and destroys most of these. Get it and run it often.
All the above are absolutely free, so there's no excuse.