Don't download games
Even if you have good anti-virus/spyware monitoring progams running, it's definitely not a sure thing. And most consumer anti-virus programs are not very good. Unless you have a corporate version of one of those, an excellent spyware blocker and a good hardware firewall, downloading applications is just asking for trouble. It's a safe assumption that 95% of things that are out there for free now are contaminated in one way or another.
Just a note, with a lot of these programs, the only way to be sure to fully eradicate them is to rebuild your drives from the partition tables on up.