I assume you scan for spyware regularly?
Personally, I hardly ever have problems with spyware, trojans, virii, and other nasty things. I use: a router, a firewall (sygate), a virus scanner (F-Prot), my own proxy server (linux thingy), a anti-popup personal proxy (proxomitron), an alternative browser (Opera)... and still some "tracking cookies" come through.
Ultimately, there's not much else you can do. Although I would recommend getting F-prot antivirus instead of norton. It's better and faster.
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