ImmunizeSearch & Destroy

Beginning from version 1.2, Spybot-S&D allows you to immunize your computer against some spyware. It currently offers three different immunities:

Permanent Internet Explorer immunity

Similar to JavaCools SpywareBlaster, this allows you to tweak some internal Internet Explorer settings to block the installation of known spyware (and similar threats) installers. Spybot-S&D is able to set all entries for those that are in its database to be blocked. If you want to distinguish, you should install SpywareBlaster.

Permanently running bad download blocker for Internet Explorer

This is a second layer of protection for IE. While the Permanent Immunity blocks installers by their ActiveX ID, this one blocks anything that should come through by different aspects.
You can view a log of blocked installers in the Tools / Resident section.

Recommended miscellaneous protections

These are very small changes recommended to make your system a bit safer and more secure. Locking the hosts file will prevent most hosts hijackers (even unknown) from doing harm; locking the IE settings will prevent other users of your computer to change your preferences.