Is using a web browser like Mozilla Firefox, where you can set it to delete all cookies when you close the browser. That way, there's no issues regarding tracking cookies, which are a pretty mild threat I might add.
What I do, is pretty simple to avoid this sort of garbage. First, I only use Internet Explorer to get new Windows updates, period. I try and avoid using any programs that rely on Internet Explorer as well, so Office, Outlook Express, Windows Media Player and plenty of others. I do use Weather Watcher, but the only other decent alternative is the spyware laden Weatherbug. I use Mozilla Firefox instead, and if I come across a site that won't work with Firefox, I move on without so much as a second thought. There are plenty of other great free or low cost replacements to most of Microsoft's stuff, such as OpenOffice for MS Office.
That makes the risk of spyware getting onto my system virtually nil. I use my wonderful new D-Link GWL-4300's firewall for filtering out unwanted probes of my system. If you're using dialup, that may not be possible, but XP's built in firewall will probably suffice just as well as Norton's. Anyone who tells you XP's firewall is inbound only is mistaken as well. A few lazy tech journalists mistakenly stated that, and sadly most people today just blindly trust reporters to get everything right. It was never true, XP's firewall has always been in/out, it's just pre-SP2 it was pretty difficult to configure outbound rules. It's something to think about when it comes time to renew the update subscription for Norton's firewall product.
There are also some pretty good free virus scanners out there. I normally use AVG Free, which I like a lot, but have been trying Avast lately. Aside from a few minor annoyances, it seems to be pretty good about not sucking up much in the way of resources. It can be a little too attention starved for my taste, but for some people that's a good thing.
Of course if you REALLY want to be free of all this stuff, your only real option involves no longer using Windows. I'm planning on getting a nice PowerMac someday (hopefully) soon. It offers most of the benefits of Linux (the other major option) -- stability, performance, customization -- with most of the benefits of Windows -- most of the little details are handled for you, hardware tends to "just work" -- in a single nice package. I also don't really need to worry about having a virus scanner installed, OS X comes with the excellent ipfw BSD firewall. If you want to keep using Windows, having all those various programs is just a fact of life.