Thanks for the tips.
Can you lock down the host file in Shiternet Explorer 8?
You don't do it through Internet Explorer. You need to navigate to this folder
c:\windows\system32\drivers\etc\, right click on the
hosts file, select
properties and under the section attributes put a tick next to
read only(like in essexboy's screenshot). That's it.
EDIT: It is pointless to do that in XP though. You are running an admin account and if a malware gets on your pc, it can easily change that attribute back. Better use something like WinPatrol to monitor changes in the the hosts file.