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Temp files will need to be dumped manually. Cookies can be deleted through the browser.
Yes, you can import your IE favorites into Firefox.
I don't have any information concerning ISPs for security.
Generally speaking, securing a system is an art of striking a balance between security and usability (the two being inversely proportional to each other).
As for guidelines, you should secure your system in layers such as using a common user account instead of an administrator account for everyday usage. Anti-virus, anti-spyware, anti-keyloggers, and anti-rootkit software are always good to have. Centralizing the temp files of the OS (Windows) will help for quick deletes. Separating system and data files by partitions is also good. RAMdisk is useful to have.
You know.... you could setup Linux in VMWare with the Linux partition setup as an encrypted partition. You would surf the web through the VMWare image. If you are new to Linux, I recommend Ubuntu or Linux Mint.
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