The best protection is still your own common sense. A site can't cause this, you would need to install something to do the damage for you.
I've used windows (98-2000) for about 10 years without a virus scanner and I only once had a virus, more a trojan horse actually. And that was only because I did something stupid. I clicked on a file which was too small to be a crack for the program I looked for, but I started it out of curiosity.
It started to download all kind of other programs, put itself in my registry to start automatically, did not allow me to use regedit anymore and started using my e-mail to send out spam. That took a few days to clean up.
I would like to add some advice to Trucia's. Avoid msn, outlook and internet explorer as much as you can. Why? Because they are integrated deeper into the system and therefor propose a bigger threat. Use firefox or opera, thunderbird and amsn,pidgin or trillian instead.
Though I like linux a lot. It was the first time an OS made me smile instead of curse. I would not advise it just like that. Some things are done better, some are worse. It's easy enough to download and try from a cd (which is slow) or a usb stick. Download
unetbootin, start it, put a usb-stick in, choose the linux version of your choice and wait for it to download and install on the stick, now boot from usb and you always have a way to access your files if your system's messed up.
Some other tips to make your system safer. Check
blackviper's guide and turn off unnecessary services, some of which are a potential threat (like telnet and remote desktop)
There's a short list, telling you which ones you can turn off safely and a long list, explaining in details what each one is for.
Alternatives for kaspersky would be avg and antivir on the antivirus side, both free and good too, and zonealarm as firewall. The one from microsoft has some holes in it.