A feature that really amazed me in Windows 7, and maybe in earlier versions, is the ability to disable the execution from the removable storage, so, if you plugged your thumb drive into an infected computer, then plugged it into your Windows 7, virus will infect your computer, at least from the thumb drive.
To do so, go to Start -> mmc, it’s preferable to right click mmc and run it as admin.
Click File -> Add/Remove Snap-in and look for Local Computer Policy
Then go to Computer Configuration -> Administrative Templates -> System and choose Removable Storage Access.
Then finally, “Enable” Removable Disks: Deny Execution Access.