Use a good VM software if you absolutely must run some untrusted programs or open some files. There's also this OS called Qubes which has built-in virtualization, so it's pretty easy to setup multiple isolated environments and protect your important data from malware, as long as you don't get your main layer infected.

But generally, not downloading untrusted files, especially software is the most crucial part, because anti-virus programs can easily miss the newest or more sophisticated malware.