Yes. It's far more secure to use a lower-privileged account for your day to day things like just browsing, email, and playing games. You can still download and install some things, just that most things will have a problem installing if it is something that wants to make itself available to everyone on the computer. In that case, it is simple as a couple clicks to get back to the screen to log in as an administrator to get the program installed.
If you have Windows Vista, it pretty much does this for you by default; even if your account is an administrator, it will warn and ask if you want to perform a change that needs to use those administrative privileges.
As for XP, just create a new limited user, and use it for everything that you can, only switching back to an administrator when needed.
