This medpagetoday.com article recaps various studies that show conclusively that statins, one of the most widely prescribed anti cholesterol pharma, do not provide any benefit against Alzheimers disease. Over a 12 year study period, those using statins were no more or less likely to develop Alzheimers than those who did not use the drug.
This Businessweek article recaps the same results and indicates that the proof of ineffectiveness of statins against Alzheimers contradicts a widely reported 2000 study that claimed statin users were 70% less likely to develop Alzheimers. It is now clear that the earlier study failed due to selection bias: those concerned with their health take statins at higher rates than the general population and are less likely to develop Alzheimers but not because they take statins.
While statins may not help to stave off Alzheimers, general exercise has been found to provide some protection against dementia. See our 2006 post on the subject here. Money quote: People who exercised more than three times a week developed dementia at a rate of 13 per 1,000 patient-years, compared with 19.7 per 1,000 patient-years for those who exercised less.