These days a lot of virusses and worms spread through the use of USB devices like Flash disks and external harddrives. I would go so far as to say that most viruses I encounter these days use this method.
Seeing as you cannot really avoid them, somehow you need to protect your Windows machine against these threats. These virusses are pretty smart in that they exploit the autorun functionality within Windows - that same little window that pops up when you insert a CD or connect a hard drive - and then installs the virus right there and then.
The best tool to avoid these autorun viruses is called Panda USB Vaccine. First it will "vaccinate" your computer, preventing autorun code being run. From there you can configure it to remove autorun files from devices that you insert into your computer, which neautralizes their threat as well. The great thing about installing Panda Vaccine is that you are actually helping everyone out. Most people are not even aware that they are spreading virusses, and keep on using their flash disks on all their friends and colleugues computers.
I installed this on all my windows computers at home and work (desktops, laptops and servers), and I have started carrying around a copy on my flash disk, just to spread the word. It is that good.
Get it here, Take note their is a earlier version doing the rounds - go for the latest one which runs in the background on your PC and automatically vaccinates all inserted disks. Oh yeah, and its free.