Below is some helpful links with more information and advices for protecting your privacy:

From Microsoft:

Microsoft's privacy videos
How to Protect Your Computer from Spyware and Adware
Browser hijackers

From other trustful web sites:

CDT's guide to online privacy
EFF's Top 12 Ways to Protect Your Online Privacy
How to Protect Kids' Privacy Online: A Guide for Teachers
EPIC Online Guide to Privacy Resources
Your Guide to Online Privacy
Site Seeing On The Internet
TechSpot Guide to Windows Online Security & Privacy
Children's Safety on the Internet: A Resource Guide for Parents
GIGAOM How to Safeguard Your Privacy Online