Sandboxie for Windows. A must have.

This is a simply must have program if your a windows user. There are so many situations where this would come in useful.

Its a piece of security software  isolates a program, known as a sandbox-based isolation program.

Wikipedia:

It creates a sandbox-like isolated operating environment in which applications can be run or installed without permanently modifying the local or mapped drive.[8][11] An isolated virtual environment allows controlled testing of untrusted programs and web surfing

http://www.sandboxie.com/