Sandboxie does the job of a virtualization engine and runs any program you may have in an isolated space so that no changes are made to the file system or to the computer in general. If any change is to be detected, the program reacts and isolates it in order to delete it later on.
Put this app to use whenever you visit dangerous websites. In the sandbox, all eventual malicious software will be contained and discarded afterwards.
You can also feel free to use it when privacy is the thing to be concerned about. All cookies, temporary files and the browsing history will be trapped inside the sandbox. And the last advantage comes from the fact that the registry won’t become cluttered so fast, as everything gets wiped out after a restart.