The moral of the story is DO NOT download exe files unless you've checked em out first. Never say yes to install plugins unless they're from a safe source either.
Try using spyware and mallware blockers, there are three I can recomend (there are many others, but after looking at several reviews and dedicated sites and asking other people these are the ones I went for). They are free to download and use (although you can donate to them if you want). They all have regular live updates:
I use all 3 in combination. There are of course advantages and disadvantages. They block a lot of porn sites (which to be honest most people want to do), but these can be edited out with a bit of effort. Yet they do stop nearly all of the nasty malware/spyware/tracker software etc.
So when used with a decent antivirus/firewall program it makes life easier.