A self-avoiding walk (SAW) on the square lattice is prudent if it never takes a step towards a vertex it has already visited. Prudent walks differ from most classes of SAW that have been counted so far in that they can wind around their starting point. Their enumeration was first addressed by Pr´ea in 1997. He defined 4 classes of prudent walks, of increasing generality, and wrote a system of recurrence relations for each of them. However, these relations involve more and more parameters as the generality of the class increases. The first class actually consists of partially directed walks, and its generating function is well-known to be rational. The second class was proved to have an algebraic (quadratic) generating function by Duchi (2005). Here, we solve exactly the third class, which turns out to be much more complex: its generating function is not algebraic, nor even D-finite. The fourth class — general prudent walks — is the only isotropic one, and still defeats us. Ho...