Everyone apart perhaps from some of the jungle tribes (or at least those who haven't implemented a scaleable, enterprise-wide jungle-net that leverages the power of native code, a fully-redundant tropical architecture and Microsoft's patented Yanomami™ ActiveSting™ technology to provide a richer environmental experience) have heard about the problems with computer viruses but there is a problem almost as damaging to your computer and certainly more insidious - adware and spyware.
The average computer user will be ignorant of such things and will probably have their web browser set-up "out of the box" which allows unwanted software to be installed on your computer. Alternatively, a lot of the popular free software also installs adware and spyware.
To find out if you have this problem, use Earthlink's handy checker. They're a large US internet service provider who have been good enough to make this service available.
Once you've checked your machine, you'll also probably want to run AdAware from Lavasoft.
For more information, have a look at the Spyware-Guide.
I've long tried to keep my computer free of these things, using AdAware and I don't worry too much about cookies but some of the other stuff can really be a problem so don't delay - act now!