I would recommend "Ad Aware" and "spybot - Search & Destroy"
You can download and use them for free from
www.download.com.
Get them, run them one after the other and they will catch a LOT of crap. Also advisable to be running a firewall (zonealarm is a good free one) and anti virus software (mcafee is my choice).
Good luck hunting.
As a side note, the next enterprise version of mcafee virus scanner will also have anti-spy abilities.