In case you hadn't heard, Sony has admitted that their audio cds install a spyware rootkit on your computer.
Ed Felten has a guide to dealing with the Sony Spyware.
How to tell whether the rootkit is on your computer: On the Start menu, choose Run. In the box that pops up, type this command:
cmd /k sc query $sys$aries
and hit the Enter key. If the response includes “STATE: 4 RUNNING”, then your machine is infected with the rootkit. If the response includes “The specified service does not exist as an installed service”, then your machine is not infected with the rootkit.
One caveat - I have heard reports that some Sony CDs do install spyware on Mac computers as well. If I find out how to check this, I'll point you to it.
I highly recommend you take a look at this, it's a terrible security hole. You may also want to consider your buying music from Sony.
update: boy, this didn't take long - there's a virus out there that takes advantage of Sony's carelessness with other people's things.