http://www.microsoft.com/protect/computer/advanced/useraccount.mspx
Running as a limited user will prevent a lot of malware from operating because they are denied access to system areas. It won't stop everything but it will greatly reduce the amount of damage they can do.
Good firewall and antivirus packages provide additional defensive layers.
If you have wireless internet, lock that down too.
Personally, I dual boot and do all my financial transactions under a base install of Arch Linux with just Firefox and Open Office installed. That way, I don't have to concern myself with any of the Windows malware and their numerous attack vectors.