I never realised myself until about a month ago. A few dodgy things started happening with my pc and a bit of digging got me onto the same tip you're on now. Bloody scary!!

Most of these dont come from dodgy websites but from "legitimate" free software downloaded from tucows.com or whatever.

Cracks and keygens are another really dodgy area.

All you can do is keep checking msconfig or whatever from time to time, run spybot every week or so too. Its inevitable you'll pick a few of these up if you use warez or "free" software

One other thing is a decent firewall, I use outpost which is free and very powerful - it shows you exactly who is connecting to your PC and from where, so you can monitor if there's any strange stuff going on