To avoid spyware, I recommend the following programs:
- SpywareBlaster — this prevents spyware from installing itself through means such as ActiveX. This should be your first line of defense.
- Spybot Search & Destroy — a very good spyware remover
- AdAware — another very good spyware remover. I recommend using both of these, because one will not always find the same things as the other
- SpywareGuard — a real-time scanner for spyware, by the same folks as SpywareBlaster.
- IE-SpyAd — not a program at all, but a registry file. Double-clicking on it installs it into Windows' registry, where it adds a whole metric buttload of known spyware-installing domains to IE's "restricted zone", where they are rendered unable to do anything.
Do not download anti-spyware programs that advertise. Many of them are spyware in disguise. For more information, check out Suzi's Spyware Blog.