From the Microsoft Security Tips & Talk Blog:
Malvertising might sound like a fancy kind of dry cleaning, but it’s really fake online advertising designed to trick you into downloading malicious software onto your computer. The most common kind of fake ad is for security software that you don’t need and that could harm your computer. This is often called “rogue security software” or “scareware.”
This month Microsoft continued its efforts to combat malvertising by filing five civil lawsuits against companies who allegedly create these fake ads.
For more information about the lawsuits, see Bad Ad: Going After the Malvertising Threat and Microsoft Advertising and Internet Safety Enforcement Team To Fight Malvertisers.
To help protect yourself against malvertising or scareware:
Install a firewall and keep it turned on.
Use automatic updating to keep your operating system and software up to date.
Install antivirus and antispyware software such as Microsoft Security Essentials and keep it updated.
If your antivirus software does not include antispyware software, you should install a separate antispyware program such as Windows Defender and keep it updated. (Windows Defender is available as a free download for Windows XP and is included in Windows Vista.)
Use caution when you click links in e-mail messages or on social networking Web sites.
Familiarize yourself with common phishing scams.