How do you live IN the world without being OF the world??

In today's times, it is harder than ever to live by the doctrine that God has set before us. With so many images and things in movies, on television, on the radio, etc, how is it possible to not be affected by these things? Is it okay to watch certain movies and listen to certain music? What kinds of things does He mandate us to do in order to walk the walk He wants us to?