The very act of going to 'any' website loads many more components than we are ever aware of. Going to an iffy site could deposit very undesirable content more especially if some of the site's payload is script based. What your browser is permitted to do (disable/prompt) with such scripting (ActiveX, Java, etc.) may seriously impact your system's security problems. Helpful tools such as HOSTS files and IE-Spyad can be used to define a blacklist of bad places that should not be surfed.
In IE:View>Privacy Report you can see what a given site's payload package includes. I have have noticed that by blocking ad-based content, for instance, my script blocking statistics have increased significantly with major corresponding reductions in web bugs and cookies.
Vince
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[*** If everyone is thinking alike, then somebody isn't thinking. ***]