A alternative to what mShred said, that may be a bit easier, would be to get sandboxie.http://www.sandboxie.com/
The above is the official site for the product, and you can read up on all the details about sandboxie from it.
Having a VM however, is just fun as hell, and will help gear you towards becoming a better hacker. I say this because it makes you very versatile, and you can dive into Linux operating systems such as backtrack. Keep in mind also that Linux is far less compatible with software unlike Windows.