Sandboxie - surf the net, don't worry about being hijacked
I really like the looks of this program. I can't use it because I don't have WinXP yet. I emailed Brandon Watts and he says he'll definately take a look at it, so he may end up reviewing it for Lockergnome's Windows Fanatic newletter.
Website - Windows XP and Windows 2000 - Quote from the website
Sandboxie lets you browse the web without leaving traces on your computer.
How Sandboxie Benefits You
When you browse the web, changes occur to your computer system. Most of the time these changes are harmless, like recording the addresses of web sites you have visited (and when), so Internet Explorer can help you complete a web address that you type in. Wheather these changes are harmless or harmful, they do in fact happen to your computer system.
When you use Sandboxie to protect your browsing session, it catches all these changes just as Internet Explorer is about to apply them into your computer system. Sandboxie does record these changes on behalf of Internet Explorer, but it records them in a special isolated folder, called the sandbox.
The benefit of having a sandbox is that it ensures your ability to get rid of all changes done by Internet Explorer, simply by deleting the sandbox folder.