The spyware problem is out of control.
There are companies making a fortune right now "monetizing" traffic at the expense of imbedding trojan viruses in PCs. Many forms of spyware and adware are now so insidious that you can't remove them unless you are an advanced "techie."
Be especially wary of free downloadable "browser toolbars" from non-mainstream providers. There have been cases where PCs, and networks have been essentially disabled due to the invasion of hidden trojans.
The best remedies are to install MS SP2, use a good firewall like ZoneAlarm and regularly run ad and spyware detection programs like Ad-Aware by Lavasoft. Also remember that free downloads often come with a lot of baggage and difficulty for you, the user.