You should avoid web sites that offer serial numbers, key generators, cracks and other below-the-line content. These websites are crawling with malware just waiting to infect your system. In general, as a thumb rule be careful where you surf. In order to make sure that you accidentally don't end up stumbling on to such a web site, you should install plug-ins/addons such as LinkExtend and McAfee Site Advisor. These plug-ins give you a security rating of any link in searches. Use an ad blocking plugin such as Adblock Plus or a site filter list (urlfilter.ini for Opera). Download free software only from sites you know and trust. Attractive looking free software downloads frequently bundle other software, including spyware, adware, trojans and other junk.
Besides this, here are a few DONTs:

Don't click on links inside pop-ups.

Don't click on links in spam or popups that claim to offer anti-spyware software; you may unintentionally be installing spyware. And please don't fall for web pages that open small dialog boxes designed to look like system messages.