Recently, lots of website got infested with trojan which can download by itself by just open the website. Is there anyway to block any auto download without installing all kinds of program such as Zonealarm? I already got Avast but it can't block the download and only gives me the warning after the download is complete and trojan prepare to execute. I have to clean of the mess mysef

Note: Ad blocker by MSN also can't stop the auto download.

I did mention Avast installed

Default IE6.0, I think is sp1

Thanks for the reply, my office is using Firefox 2.0, it is safer, but the web display sometimes all scramble up, especially at chinese web site running with Java or actionscript. At home, I mostly use back IE.
I normally browse at regular site, just 3 days, a safe site for years (about games review,walkthough, cheats) got infected with trojan Win32:Goldun-HB, the avast stop it from execution and deleted. I thought it was safe but pc seems weird with missing quick task bar. Finally yesterday, avast detect another trojan executing by just log online. I need to revert back the registry for cleaning for safety. An annoying step where I have to re-install certain files again
it would be nice, if IE at least telling us certain files is going to be downloaded from the site and let us decide it is save or not to download it, not just auto download and let AV to detect which will be too late

I scan the system with mcafee online scanner, it is clean now, I also grab the site advisor from download.com. Thanks for the help.