We get 2-3 items of Spam a month in Thunderbird email. These generally come from tracking cookies picked up by my wife when she visits those "free" sites pertaining to finding old school chums, family, etc.

She must use IE to visit them, they don't work with Firefox.
Here's how I deal with them:
1) SpywareBlaster (free). Currently their blacklist contains 8,752 entries, cookies from these sites are automatically blocked, they're never set in the first place. Update regularly.
2) AdAware and SpyBot (both free). Weekly I update and run BOTH programs. What one misses, the other usually catches.
3) When one of the above finds a tracking cookie, note the details. In IE, go to: Tools -> Internet Options -> Privacy -> Sites. Enter the address and hit "block". Cookie handling on this comp is normally set to accept first-party cookies and block third-party cookies. Same procedure for Mozilla Firefox if a tracking cookie happens to get in that way. Then allow the antispyware programs to delete the tracking cookie.
4) Use CCleaner (crap cleaner, free). Options -> Cookies. Move cookies you need to keep to the save list. Run the cleaner regularly.
5) You often need cookies to get on sites you subscribe to. But if visiting any sites I'm suspicious of, I'll turn off cookies altogether for that session and disable JAVA.
6) Run your antivirus regularly, of course. At least weekly I'll do a boot scan with Avast (free as well, I like free

).
Other folks have their own methods, mine seems to work tolerably well. YMMV.
