A lot of this seems like it should be common sense, but people are constantly ignorant of these simple procedures.

First, and most obvious, have good full featured protection software installed, up to date, and running all the time.

Second, before you left click on any new file you receive to open it / run it, weather it be from a disk from your friend, email, or download using a Web Browser, IM (Instant Messenger) client or Download client, right click on it and left click on your Anti-Virus on demand scanning feature. Have your Anti-Virus program scan it for infections before you open it and infect your computer. This alone will save you from large amounts of potential problems.

A file containing a virus is inactive (not running) until you open / run it, and has not yet infected your computer. Once it is opened or run, it will quickly infect your machine, and you will begin to experience problems. Typically once a virus runs it will set it's self up to run when your computer starts, and when ever your computer is running.

The procedures here are intended to prevent you from ever running an infected file, by catching it first and eliminating it.

Third, when downloading software (programs) from the internet, the download window gives you the options to Run, Save, or Cancel - don't click Run, Click Save, and browse for a location on your hard drive to save it where you can easily find it after the download. Then browse to the file with Windows Explorer, and right click on the file then left click on your Anti-Virus on demand scanning feature. Doing this allows your Anti-Virus program to scan the file for infections before you run it, and before it has a chance to infect your computer. Had you selected Run, it would be too late had there been an infection. If you are not familiar with Windows Explorer, you can save files to your Desktop, and right click on the file there, then left click on your Anti-Virus on demand scanning feature. If there is no infection found, one can assume it is safe to double left click on it and begin the software's installation.

Fourth, When you are downloading free software, a common vehicle for adware and or spyware, do a web search on it first, and include in the search string the name of the program, and the words: adware malware spyware
Chances are you would not have been it's first victim, and there will be search results containing other people having problems, and  / or any possible methods of removing the infection from the malicious software.
Do not confuse the results claiming the software is Adware, Spyware, or Malware FREE with results claiming it has Adware, Spyware, or Malware.
If it is free of them it does not indicate that there is a threat, it is claiming the software in question is free of them, which is good. That, or nothing in the search results about Adware, Spyware, or Malware related to the software in question is what you want to see.

Fifth, Do not open un-scanned email attachments, chose the save option, and scan them with the same procedure listed above for every other new file before opening / running. If your Ant-Virus software has e-mail scanning this is not an issue.

Sixth, know your Anti-Virus software's limitations. For instance, if it does not scan files automatically on download, or scan your email when receiving mail, or downloads you receive from your IM (Instant Messenger) client, then you know you need to manually scan them with your Anti-Virus's on demand scanner before you open / run it. If you don't know weather it does or not, then it is always better to be safe, and manually scan with your Anti-Virus's on demand scanner prior to opening or running any file.

AVG Free Limitations and work arounds:

   AVG Free does not screen your downloads and communication (IM chats) for viruses and spyware.
The Fix- You must do on demand Scanning of downloads before opening them.
Use AVG Free's on demand scanning from the right click menu on your file, before opening it.
AVG Free does regular scanning of your computer, but if the file is new it probably has not been scanned yet.

   AVG Free does not contain Anti-Rootkit protection. Protection against hidden threats that deliver malicious content.
The Fix - Use Windows Defender with AVG  - Do regular manual system Scans with Malwarebytes monthly (available on the Download page).

   AVG Free does not contain sophisticated identity theft protection.
Fix - Use Windows Defender with AVG - Do regular scans with Malwarebytes monthly - Get educated about phishing.

   AVG Free does not contain Anti-Spam which can monitor and block SPAM and fraudulent e-mails.
Anti-Spam Catches e-mail threats including phishing, fraud and spam
Fix - Use this Google Postini email filter trick with your  email accounts - or - Install a spam filter- Create filters for your email.

   AVG Free does not contain a firewall which can protect you against hackers and viruses spread over the internet
Fix - Use Windows Firewall (Should already be turned on if you where following the installation instructions for AVG and Windows Defender.)

   AVG Free does not provide Technical Support - Free support and service from AVG technicians around the clock and across the globe.
Fix - You can get  free access to the AVG Support Forum with Read Only access to look up problems : registration to the Forum is free.

IM (Instant Messaging) Clients with file transfer features commonly have settings to make use of your Anti-Virus software's on demand scanning capability. Other times this is done by a plug-in that your Anti-Virus software installs, if your Anti-Virus supports IM Clients.
Even if your Anti-Virus claims it doesn't support IM clients, there's a chance your IM client can make use of your Anti-Virus's on demand scanning capabilities to automatically scan every download upon completion, and instantly deal with any potential threat.
This IM feature will automatically launch your Anti-Virus to scan any file you downloaded through your IM program.
IM Programs vary, so the interface to set this feature up may vary from IM to IM, but many times the feature is there. You will have to look.
I have provided a general guide to help you locate the settings and configure them, should it be possible, and what to do if you cant.

The settings are typically found in  a drop down menu with a title of either "Options" or "Preferences" or "Settings".
This typically opens up a window with many settings.
(I like to uncheck the option to stop the IM client from starting up when Windows Starts - This has nothing to do with security though)
You then are required to browse to the .exe (executable - Application) file for your Anti-Virus software.
This is typically found by looking on your computers C drive in the Program Files directory( folder) for the name of or manufacturers name of your Anti-Virus software.

If you have trouble adding this feature to your IM program, or the feature just doesn't exist, you can still download the file to your hard drive with your IM, and do on demand scanning to the file as listed in the procedures above.