I see you were informed of the HOSTS file, that works well.
You can also add it to the list of Restricted Sites in Internet Explorer on
the security tab.
That way, if someone gets around the HOSTS settings (or figures out how to
edit them) the damage done should be limited by having it in the restricted
zone.
If you 'immunize' using Spybot Search & Destroy, it adds many bad sites to
your hosts file automatically.