A clever and potential useful device is a virtual hard drive (aka temporary disk) which can store information entirely in its virtual space without ever writing back to your hard drive. With virtual disks, you could protect your hard drive from a potentially dangerous action (such as an ill-advised website or software install) buy running them in the virtual space and then simply deleting the space when you are done. The software would never write back to your “live” hard drive.

SandBoxie is a product which handles creating and disposing of these virtual drives, so if the above was not clear, check out more information on their site (they also have a better explanation and examples) here: [http://www.sandboxie.com/]
The download is free, so you have nothing to lose.