Upgrade IE ASAP
A study from a year ago but just as valid today. Actually, over the past year, IE got much worse. There were many exploits and unpatched holes in the browser.
One of the best things you can do for your Windows security is to make sure you upgrade to IE 7.x which has been redesigned to avoid many classes of attacks. It is being pushed out by Windows Update (or Microsoft Update) You can also switch to Firefox or Opera to get better security but please don’t use IE 6.x or older anymore!
Unfortunately, you have to be on Windows XP SP2 or higher to use IE 7. So, it will force Windows 2000 users to upgrade to XP first. That is probably also a good thing for security though.