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During the Safari for Windows installation process, Apple gives you the option to install the Bonjour networking service and a software update utility that helps with the patching/updating process.
For security reasons, uncheck the Bonjour service installation. There have been serious code execution holes found in this service.
Install the Apple Software Update tool to ensure you receive fixes and security patches automatically.
This screen is taken from Safari on the Mac but it also applies to the Windows version.
On Safari for Windows, choose Edit and ensure that Block Pop-up Windows is checked.
The shortcut for this is Ctl+Shift+K.
This option will prevent sites from opening another window through the use of scripting, or active content.
You should be aware that while pop-up windows are often associated with advertisements, some sites may attempt to display content relevant to your usage of the site in a new window.
Therefore, setting this option may disable the functionality of some sites.
Source: CERT/CC (Computer Emergency Response Team Coordination Center).
On the Mac OS (screenshot), choose Safari > Preferences. On Safari for Windows, choose Edit > Preferences
In the General tab, you can set up many options such as Save downloaded files to: and Open "safe" files after downloading.
CERT/CC recommends that you save downloaded files to a temporary folder that you create for downloading files.
For security reasons, be sure to uncheck the Open "safe" files after downloading option.