Firstly, If you have Spybot - Search & Destroy your hosts file will already have entries in it. Do not change anything. You are already protected
The hosts file is a plain-text file and is traditionally named hosts, and is most often located at the path /etc/hosts. It contains the mappings of IP addresses to host names. This file is loaded into memory (cache) at startup, then Windows checks the Hosts file before it queries any DNS servers, which enables it to override addresses in the DNS. This prevents access to the listed sites by redirecting any connection attempts back to the local (your) machine.
The best bit about it is that you can also use a HOSTS file to block ads, banners, 3rd party Cookies, 3rd party page counters, web bugs, and even most hijackers. This is accomplished by blocking the connection(s) that supplies these little gems.
Example - the following entry 127.0.0.1 ad.doubleclick.net blocks all files supplied by that DoubleClick Server to the web page you are viewing. This also prevents the server from tracking your movements. Why? ... because in certain cases "Ad Servers" like Doubleclick (and many others) will try to open a separate connection on the webpage you are viewing.
Protect yourself using the host file. All the information is located on this website
http://www.mvps.org/winhelp2002/hosts.htm . The host file is updated about once a month.
As with everything be careful.