SpyBot S&D comes with decent malicious site blocking capabilities and an exceptional browser immunizer. I think it'd be worth your time to try it.
Like Hewee said, you should just edit your Hosts file (in XP: c:\windows\system32\drivers\etc). You can crawl search engines for a pre-made list of malicious sites, and just copy/paste them into your Hosts file.
And I'm not sure if they've made a GreaseMonkey script for the aforementioned purpose. You should
go here and contact the webmaster; he developed one third of GreaseMonkey; he should know.