Unfortunately, these days it seems anti-adware and anti-spyware programs are required. They used to be just irritating, but now they're getting downright harmful.

Spybot and Ad-Aware both work by comparing the files on your system to a known database of adware and/or spyware. The reason for frequent updates, as DeOnna recommended, is to keep your database up to date with all the known files. Neither of them is complete, that's why you need both. Even with both, they won't find everything, but you'll be better off then you would be without them!

SpywareBlaster is another good thing to have; it works in a different way then the other two. It takes known malware sites and adds them to the Restricted Zone of your browser, thereby keeping the nasty stuff from ever getting to your system in the first place. This also needs to be updated frequently to provide the best protection. Links to these are also in DMR's signature.