Education is key here. Most people who succumb to identity theft were never told and never learned about internet security in the first place. read up on SSL certification, secure your router settings, allow your user account only the rights it needs to do what you need, use different passwords for your email, bank, facebook, forums, business, personal sites, blogs, etc. Do not use common passwords (password, password1, qwerty, 123456, fuck, <name>, qazwsx, fuckyou, google common passwords for more). Do not share your passwords, PIN, or any other authentication method with anyone on the internet, be aware of password harvesting techniques, run a firewall, monitor your computer for strange programs and by extension learn what processes do what so that you can recognize strange ones, don't execute files unless you know what they do. Powerful people from different countries never need your help moving any amount of money. There is no way anything on the internet can autoscan your computer through a popup and find viruses. Registry errors are common and not a sign that your computer has malware on it.
tl;dr Learn about different ways you can be attacked online. Most of them involve you giving your information or permission to someone else. The others will hop onto your computer through hijacked websites and poorly written code. Don't be paranoid, but be alert. The internet is a wonderful place, but do not blindly trust everything on it. More often than not, googling something suspicious will bring up others who have identified it as malicious OR it will alleviate any suspicions you may have had. And finally, the US Government will often make overarching claims about things in order to frighten you - at the same time, they tend to have at least some shred of good intentions in their warning. Take this warning and do your own research.
tl;dr tl;dr Educate yourself, google is your friend.